Omega Point Blog

Volatility

Getting a Grip on Volatility

July 25, 2021

In our last two editions of Factor Spotlight, we explored volatility’s unprecedented post-COVID rally as well as its recent hints at renormalization. As the dust continues to settle, there are strong indications that suggest that low volatility stocks are coming back into favor while high volatility stocks might take a back seat. During this transitionary period, we have seen quite a bit of...

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Kevin Wahlberg
Kevin Wahlberg

The Factor Signature of Volatility

July 18, 2021

Volatility continues spiraling downwards as the factor seemingly marches back to the beat of its old drum. As we highlighted in last week’s Factor Spotlight, Volatility spent almost the whole of 2020 skyrocketing with positive performance; however, performance since February 2021 would show that the factor may be coming back down to earth.

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

Is Volatility’s Reign Coming to an End?

July 11, 2021

Volatility has spent almost the whole of 2020 terrorizing investor portfolios as it soared on a rocket ship of positive performance. From January 2020 to its peak in February 2021, we saw this factor rise by almost 20% on a cumulative basis.

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Alyx Flournoy, CFA
Alyx Flournoy, CFA

If You Can't Tame Volatility, Can You at Least Time It?

September 13, 2020
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Alyx Flournoy, CFA
Alyx Flournoy, CFA

You Can Run, But You Can’t Hide From Runaway Volatility

August 30, 2020
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Alyx Flournoy, CFA
Alyx Flournoy, CFA

Volatility is Partying Like It's...2009?

August 23, 2020
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Alyx Flournoy, CFA
Alyx Flournoy, CFA

Hunting for Value in a Falling Market

March 08, 2020
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Omer Cedar
Omer Cedar

Better Portfolios Through Experimentation

December 08, 2019

We hope you enjoyed Thanksgiving weekend with your family while we took the week off from Factor Spotlight to do the same. Today, we’re excited to introduce our latest product feature - the Experiments Manager, which is now available for all Omega Point members. The utility of Experiments revolves around portfolio rebalancing, as it allows you to evaluate different “what-if”...

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Omer Cedar
Omer Cedar

Building a Smarter Tech Hedge

November 03, 2019

Over the past couple of weeks, we’ve discussed the benefits of using a smarter hedge basket vs. the standard and ubiquitous ETF hedges that most portfolio managers use to some extent. Most recently, we built a higher Volatility basket out of the SPY constituents, through which a manager could have made an incremental +5.68% return per year over the traditional SPY hedge.

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Omer Cedar
Omer Cedar

Building a Superior SPY Hedge

October 27, 2019

Last week, we discussed the significant drawbacks of using the S&P 500 SPDR (SPY) as a market exposure hedge. We established that 1) the SPY hedge is wildly common among the institutional investment community (40% of the SPY’s AUM is short interest), and 2) it carries an inherent long bet on Volatility - a negative premia factor that’s down 32% over the past five years.

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Omer Cedar
Omer Cedar