Rolling Out Our Weekly Surprise Metrics

Today marks our inaugural condensed version of Factor Spotlight, as I mentioned in our last issue. Over the next few weeks, we will send out this version as we hone Factor Spotlight to leverage the hundreds of style, sector, macro, and other factors, from a wide variety of leading providers on the Omega Point ecosystem available to all our customers. We anticipate that the new Factor Spotlight will be arriving in your inboxes in early May.

In the meantime, the following several issues will lead off with each week's US Market Summary / News Highlights, which should already be familiar to many of our long-time readers.

In addition, we will include two tables that highlight Omega Point's Top Surprise Factors of the week; Omega Point-exclusive metrics made possible by our ability to access, test, and compare various factor models quickly and efficiently. The first table displays our top Macro & Style Factor Surprises of the week, and the second table shows our top Sector Factor Surprises.

For more recent readers, I want to note that we first introduced the Surprise metric in our Feb 27 Factor Spotlight: Quantifying the Impact of Russia's incursion into Ukraine.

The Surprise Metrics measure each factor's return divided by its predicted standard deviation. On a trailing one-week basis and since the invasion on Feb 24, we continue to see multiple standard deviation moves across a broad number of factors that continue to shift each week and are a unique indicator of the market's pulse regarding the significance of the ongoing crisis and its ramifications.

For a deeper dive into the methodology, uses cases, and incorporation of Surprise Metrics into your decision-making, I encourage you to check our most recent factor spotlight series: Your Exposure to the New Economic Order - Part I, Part II, and Part III. And if you're interested in how to apply to macro specifically, we encourage you to check out our Mar 27 Issue on the topic.

Please don't hesitate to reach out to us if you have any questions, comments or to discuss ways to incorporate these and other metrics into your strategies.

‍US & Global Market Summary

US Market: 04/04/22 - 04/08/22

• All three major stock market indices declined for the week. The Dow was down 0.23%, posting back-to-back weekly declines, while the S&P and tech-heavy Nasdaq fell, 1.31% and 4.15%, respectively.
• The Fed release its March meeting minutes on Wednesday revealing a plan to reduce bond holdings $95 billion and is also considering rate hikes of 50 BPs in future meetings - double the usual amount for the first time since 2000.
• The 10-year Treasury yield hitting a new three-year high Friday, rising above 2.7%. vs. 2.38% at the end of last week, and 1.63% at the start of the year. .
• COVID-19 continues to squeeze the world economy, particularly in China. Shanghai residents face severe restrictions on movement and activities due to a surge in infections.
• Robinhood Markets fell 6.88% after Goldman Sachs downgraded the online brokerage,
• Big U.S. banks kick off the first-quarter results season next week, with general consensus of reporting large declines in earnings from a year earlier, when they profited from strong deal making and trading.

OMEGA POINT SURPRISE METRIC - TOP MACRO AND STYLE FACTORS

• Revisions is the most negative surprise factor indicating that investors are strongly disagreeing with sell side analysts going into Q1 earnings reporting period.
• Global Commodity factors remain in positive territory and unchanged from last week.
• USD Bond Prices have actually flipped into positive territory after they sold off heavily early in the conflict. JPY Bond prices continue to remain in negative surprise territory.
• The deleveraging has definitely slowed down as evidenced by the HF Crowding and Short Interest factors
• Developer Markets Beta saw a massive sell off this week.
• Growth still seems to be in favor in the US but is selling off globally. Value remains in negative territory and has weakened since lat week.

OMEGA POINT SURPRISE METRIC - TOP SECTOR FACTORS

• Consumer Staples had a sharp rebound this week but Discretionary moved further in the negative direction
• Industrials showed the sharpest correction in a negative direction while Utilities and Energy continue to climb.

Regards,
Omer