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March 17, 2021 4:00 p.m. (GMT) | 11:00 a.m. (ET)
Spread and rate term structures are one of the cornerstones of fixed income analytics, with applications in pricing, performance, risk, and investment strategy. However, the construction of these term structures, particularly issuer spread term structures, is very challenging for a variety of reasons.
In this webinar, David Antonio will present a top 10 rundown of these challenges and the solutions designed to address them, including outlier detection and removal, technology used for speed, and how to fit a curve with just one bond.
February 17, 2021 4:00 p.m. (GMT) | 11:00 a.m. (ET)
Sector-allocation decisions form an integral part of many equity and fixed income investment processes, but their significance is very different in both asset classes. While the divergences in regional stock-market returns in 2020 were largely due to the different sector makeups of the respective benchmark indices, the corresponding credit-market performances were much more consistent across the globe.
In this webinar, Christoph Schon will use Axioma’s new Factor-based Fixed Income Risk Model to demonstrate that while sectors do play a role in credit investment management, they do so to a much lesser extent than one might expect.
February 11, 2021 – 4:00 p.m. (GMT) | 11:00 a.m. (ET)
The extraordinary market movements of 2020 had a considerable impact on the correlations between major asset classes. Some long-established interactions decoupled or even (temporarily) reversed, while others remained remarkably stable and sometimes intensified as the crisis unfolded. In this webinar, Christoph Schon will take a closer look at these relationships and examine how they affected the risk of a global multi-asset class portfolio. He will also explore potential implications for hedging and diversification strategies in the year ahead.
February 18, 2021 – 10:00 a.m. (HKT)
Join the Qontigo Applied Research team as we review the key drivers of risk in the previous quarter and draw insights into what might be in store for investors in the next quarter. We will decompose market risk for equities, fixed income, and multi-asset class markets using Qontigo’s fundamental multi-factor risk models, and take a look at how they have shaped investor sentiment in the previous three months. Our goal will be to identify which risks paid-off, which ones didn’t and if investors are changing their minds about what has been working for them in the recent past versus what they believe will work for them in the near future.
Responsible Investor Webinar: Taking temperature for 2021: Investment solutions for challenging climate change
This webinar will focus on how investors can handle – and build on – this momentum to enhance their strategies and further help combat climate change in 2021.
January 20, 2021 – 4:00 p.m. (GMT) | 11:00 a.m. (ET)
Style-factor risk premia have been well-documented (and harvested) in the equity world for decades, but they have proven a lot more elusive for bonds. In this webinar, Christoph Schon will demonstrate how a robust, issuer credit curve-based framework can be used to identify style factors – such as (low) beta, value, and momentum –all of which carry discernible premia. He will examine each factor in detail and provide an intuitive explanation behind their respective performances.
News & research
New DAX Rules, Part of Methodology Overhaul, Kick in Next Month
Changes to Germany’s flagship benchmarks were announced last November and seek to enhance the quality of component companies.
Worried about inflation? Here’s how it impacts multi-asset portfolio risk…
Investors are getting jittery over inflation, thanks to continued fiscal stimulus, combined with the effects of prolonged monetary easing. This, in turn, has pushed long-term government rates to 12-month highs, while share prices continue to climb.
Adding Emerging Markets Stocks to a Developed Markets Portfolio? A Linked Model Can Help Manage the Risk
This is the third installment of a series of posts highlighting the risk-measurement benefits of a model that links separate regional models, versus a single global model.
Cross-Asset Correlations in the Corona Crisis
In this paper, we take a closer look at the pairwise interactions of some of the asset-class pairs and review how they affected the risk of a global multi-asset class portfolio over the past 14 months, with a particular focus on the most recent environment.
Introducing the STOXX Industry Neutral Ax Factor Indices
A new variation of the STOXX Factor Indices, which leverage Axioma’s proven factor models, further restricts sector diversions from the benchmark.
Multi-Asset Class Risk Monitor | Week Ended February 19, 2021
Inflation concerns drive sell-off of long treasuries; Pound surges on vaccination success and rising rate expectations; Portfolio risk falls, as equity volatility continues to slide.
Equity Risk Monitor Highlights | Week Ended February 18, 2021
Value finally picks up some steam; Exposure to Value lifts last year’s sector losers in the US; UK small-cap shares strongly outperform.
Qontigo ROOF™ Score Highlights: Week of February 22, 2021
Markets and sentiment continue to diverge. A shift has taken place among some market participants towards the speculative model and away from the fundamental one.
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