From Our Blog
The Factors Leading to Last Week's Momentum Shock
Nov 15, 2020 8:00:00 AM
| Before we jump in this week, I wanted to let you know that a recording of my presentation on Evaluating Alpha Signals at last month’s Wolfe Research Global Quantitative & Macro Investment Conference has been posted. Please don’t hesitate to reach out if you have any questions or comments. Now on to this week’s topic... Portfolios were rocked this past week as the world heard of news that Pfizer and BioNTech have produced an effective COVID-19 vaccine that is now in the final stages of testing. While the Nov 9 announcement indicates that there’s a light at the end of the long coronavirus tunnel, it caused massive market rotations as investors moved out of the stay-at-home stocks that had previously been skyrocketing throughout the global quarantines. This rotation was mainly realized through the Momentum factor, which saw the highest daily drawdown in longer than a decade. The Momentum drop - close to 500 bps according to the Axioma US4 Medium Horizon risk model - was the largest daily drawdown in the factor’s recent history and translated to a 19-standard deviation event. |
Avoiding the Election Beta Wave
Nov 8, 2020 8:00:00 AM
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I think we can all safely say it’s been a roller coaster ride of a week, with the slow drip of US election results keeping many on the edge of their seat and up late at night anxiously awaiting the final votes to be counted. At the time of writing, it would appear that the American people have chosen Joe Biden and Kamala Harris to be the next leaders of their country. However, despite the momentous results of this historic election, the suspense is likely to continue as the Trump administration pursues legal action to challenge the validity of the votes. |
Smart Trading M&A in the Semiconductor Industry
Nov 1, 2020 7:00:00 AM
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With the election now only two days away and most choices likely set, I’m sure that many of you are ready for at least a brief respite from the crescendo of related coverage. In that vein, we’re taking a break from our election series this week, but for those still inclined you may want to check out our previous two posts: “Mitigating Election-Driven Volatility in Your Portfolio” and “The Hidden Election Candidate – ESG”. This past week we also wrapped up our 4-part “Best Practices in Hedging” webinar series. No worries if you missed any of these webinars, you can view the full recordings on our website. |
The Hidden Election Candidate: ESG
Oct 25, 2020 8:00:00 AM
| Before we take the plunge into this week’s election agenda, I’d like to take this opportunity to invite you to join me on Tuesday, Oct 27 for the fourth and final webinar in our Best Practices in Hedging series where I will be demonstrating: Single Stock Hedging Using SmartTrades™. This is designed to be a practical and hands-on session where I will showcase some of the latest Omega Point functionality to build single-stock hedges that can maximize the alpha in your ideas. I am looking forward to answering any of your questions and do hope you can join us. If you missed the previous three webinars in this series, no worries as you can view the recordings and access the slide decks by going to the following links:
Now on to this week’s election coverage. |
Mitigating Election-Driven Volatility in Your Portfolio
Oct 18, 2020 8:00:00 AM
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First off, I hope that you can join us this Tuesday, October 20 for Monitoring and Rebalancing of Your Hedge Positions in Changing Markets, the third webinar in our “Best Practices in Hedging” series. If you missed the previous webinars in this series, you can view the recordings and slide handouts via the following links: Quantitative Evaluation of Hedge Baskets and Creating Custom Hedge Baskets. In our prior Factor Spotlight, we observed that in a Presidential Election month, US market volatility* is 15-25% higher on average than any other month. |