2021 Holiday Wrappings

‘Tis the season for tying up loose ends, last-minute gift searching, and roasting chestnuts over open fires.

’Tis also the time for the arrival of this year’s 46th and final 2021 issue of Factor Spotlight to cap off yet another trying year for us all.

It seems easy to bid good riddance to 2021, a year in which the pandemic stubbornly continued to rage, and economic, social, and political turmoil dominated the headlines.

But we’re tremendously heartened by the progress being made on many fronts, along with the countless examples of humanity’s kindness, ingenuity, and resilience in the face of unprecedented adversity. These are the thoughts that energize and motivate us as we head into 2022.

All of us at Omega Point wish you and your loved ones a joyous holiday season and a Happy New Year filled with hope, faith, and unbridled possibilities.

During this season, we take time to reflect upon some of the good things from the past year.

We are thankful for the continued health and safety of our employees, customers, and partners.

We are very fortunate to have gained the trust from our customers who work with us every day to solve their investment problems.

We are excited to have formed new partnerships to enable our customers access to unique datasets, complementary investment solutions, and trading/execution opportunities.

For this special year-end edition, we count down the 10 most popular Factor Spotlights of 2021 and wrap up with our US and Global weekly factor summaries.

We have lots of new content and exciting announcements planned for next year, see you in 2022!

Regards,
Omer

THE 10 MOST POPULAR FACTOR SPOTLIGHTS OF 2021

‍10- IDENTIFYING CROWDED NAMES — Q1 2021 EARNINGS SEASON (JAN 24)

We provided insights on hedge fund crowded names ahead of Q1 Earnings.

9- THE TAX TRADE: FACT OR FICTION? (DEC 12)

‍We investigated whether a tax-trade effect exists, and if so, what does the tax trade look like with respect to existing factor models?

8- ADDING A SECTOR LENS: INTRODUCING THE WOLFE RESEARCH SECTOR MODELS (FEB 7)

We provided an overview of the Wolfe Research sector models available on the Omega Point platform.

7- COULD EVERGRANDE CREATE A GLOBAL DOMINO EFFECT? (OCT 3)

With a looming default from China Evergrande making waves, we assessed the systematic web connecting Evergrande to the global markets.

6- THE BATTLE BETWEEN GROWTH AND VALUE (NOV 7)

We looked at the tumultuous relationship between Growth and Value and its implications for investors.

5- MARRYING MACRO AND FUNDAMENTAL MODELS (MAY 2)

We explored macro drivers of equities through the lens of the Axioma Macro Economic Projection model.

4- WITH RISING RATES COMES A REBOUND IN VALUE (FEB 28)

We investigated the relationship between Interest Rate Sensitivity, Growth, and Value.

3- WHERE’S THE MACRO? (DEC 5)

We leveraged Quant Insight’s macro datasets to identify macro-driven industry sectors and stocks.

2- ARE YOU PREPARED FOR THE NEXT SHORT SQUEEZE? (JAN 31)

We looked at how greater transparency into retail investor crowding can help better protect institutional portfolios.

1- HONEY, I SHRUNK THE BETA (MAY 23)

We investigated a key question that comes up more and more frequently among investors: does beta still explain market movements?

‍US & Global Market Summary

US Market: 12/10/21 - 12/17/21

• All three main U.S. stock indexes ended with a decline for the week, as the market racked up its third losing week in the last four.
• Small company stocks bucked the broader market slide with the Russell 2000 index rising 1%.
• The Federal Reserve signaled on Wednesday that it plans to speed up its reduction in monthly bond purchases, a shift in policy sets the stage for the Fed to begin hiking rates sometime next year.
• European countries geared up for further travel and social restrictions amid a new study warning of a rapid spread in the Omicron coronavirus variant.
• The VIX volatility index, known as the fear index, jumped 10% with traders pointing to year-end tax selling and the simultaneous expiration of stock options, stock index futures and index options contracts –triple witching - as potential causes for volatility.
• Crude prices were down around 1.7% while precious metals were on the rise with gold adding 0.5% and silver increasing 0.4%.

‍Normalized Factor Returns: Axioma US Equity Risk Model (AXUS4-MH)‍

• Value finishes atop the U.S. factor leaderboard for the second week in a row.
• Size crept upwards to secure its second consecutive runner-up finish.
• Earnings Yield sputtered higher to extend its 11-week positive trend and now sits at the doorstep of extremely overbought terrain at +1.99 SD above the mean.
• Volatility fell for the tenth straight week as it approaches oversold status.
• Profitability fell hard once again following last week’s bottom finish and exited overbought territory.
• Market Sensitivity continues to show weakness by finishing in the bottom two for the last month and sits at the precipice of extremely oversold territory.
• Medium-Term Momentum plummeted after its surprising slide last week to finish in the cellar of the U.S. leaderboard.
• US Total Risk fell by 0.13% this week.

‍Normalized Factor Returns: Axioma Worldwide Equity Risk Model (AXWW4-MH)‍

• In lockstep with the U.S. table, Global Value finishes the week atop the leaderboard for the second consecutive week.
• ‍Growth continues to defy its U.S. counterpart with another squeak upwards and nows sits exactly at the mean.
• Exchange Rate Sensitivity saw its recent freefall soften slightly but still flails deeper into oversold territory.
• Size reversed its recent upsurge to slide down to +1.16 SD above the mean.
• Profitability fell once again leaving its recent 7-week run higher further away in the rear-view.
• Volatility continues to show weakness and is now approaching oversold territory.
• Market Sensitivity moved lower again and finishes the week at the bottom of the Global leaderboard.
• Global Total Risk fell by 0.04% this week.

‍Regards,
Omer