From Our Blog
IPO Season is Heating Up, What's in Your Risk Arsenal?
Sep 20, 2020 8:00:00 AM
| It’s IPO season! Despite the pandemic-induced IPO lull early in 2020, we’re now seeing momentum from the IPO train, particularly in the tech space. Snowflake’s IPO (SNOW) this past week made headlines when the stock shot out of the gate on Wednesday with its shares up 130% within a few minutes. Two other tech names, Unity (U) and JFrog (FROG) also debuted this past week with major price jumps on their first day of trading. With popular companies like Airbnb, Palantir, Robinhood and plenty of others expected to IPO later in 2020, there is no shortage of exciting IPO activity despite the challenging economic environment. |
If You Can't Tame Volatility, Can You at Least Time It?
Sep 13, 2020 8:00:00 AM
| Before we kick off this week’s issue, we encourage you to check out Newfound Research’s Flirting with Models podcast which recently featured Omega Point’s Omer Cedar in which he discusses: how quantitative investors have impacted markets, how fundamental managers should think about factors, the low-hanging fruit for optimization, and surprising lessons he has learned in evaluating fundamental portfolios. We hope that you find it enjoyable and thought provoking. |
You Can Run, But You Can’t Hide From Runaway Volatility
Aug 30, 2020 8:00:00 AM
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Last week we had focused on Volatility’s first major trend reversal since the Financial Crisis, adding its bullish 2020 turnaround to the growing list of unusual market behaviors we’ve seen in the COVID era. We compared sector drivers and correlations between today and 2009, and uncovered startling disparities alongside some remaining scraps of common ground. This week, we dig deeper into the securities behind Volatility’s upward trend and try to get a better handle on what is driving its performance. |
Volatility is Partying Like It's...2009?
Aug 23, 2020 8:00:00 AM
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Volatility has been on the run! For a factor that typically has abysmal performance and a very negative premia over time, Volatility is turning out to be 2020’s comeback kid. For all of the managers who actively tilt their portfolios away from this factor or manage ‘low volatility’ products, this recent trend from the Volatility factor could really be throwing a wrench into things. |
Adding Fuel to the Raging Value Debate Fire
Aug 16, 2020 8:00:00 AM
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For both Fundamental and Quantitative investors, hardly a month goes by without an update to the great Value debate. The latest shot across the bow comes from a paper published by Sparkline Capital in which they theorize that the demise of the Value factor is due to the underestimation of the effects of technology disruption in traditional capital markets. Sparkline Capital breaks out the FAAANMstocks (Facebook, Apple, Alphabet, Amazon, Netflix and Microsoft) from the rest of the S&P 500 to analyze FAAANM sector performance along with the remaining S&P 500 ex-FAAANM stocks. They leverage machine learning technologies to expand the analysis and create a “Tech Disruption Factor” that is agnostic of sectors, which performs strongly and carries a negative exposure to Value. |