News & Research

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.

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.

In a surprising turn of events, most equity markets finished 2020 with sizable gains—and the fourth quarter unquestionably did its part. Benchmark risk continued to slide in Q4—except for a blip in November—but still ended the year higher than where it started. Factor returns went wild in Q4 and many regions saw outsized returns for the year.

In the wake of failed last-minute talks between Britain and the European Union, both sides have now warned that a ‘no-deal’ Brexit is likely, despite a mutual commitment to continue negotiations. The pound is expected to take the brunt of any market reaction, but the impact on stock markets is less clear-cut. In this blog […]

Eurozone yields drop as ECB expands bond buying; Sterling slumps after last-minute Brexit talks fail; Portfolio risk drops on lower equity and FX volatility

Sector-allocation decisions form an integral part of many investment processes, both in equity and fixed income portfolio management. Most benchmark providers in both asset classes provide a wide range of sector sub-indices, and many risk models contain sector factors. By comparing Axioma’s new Factor-based Fixed Income Risk Model with a more traditional approach, we demonstrate that while sectors do play a role in credit investment management, they do so to a much lesser extent than one might expect.

The recent news of effective COVID-19 vaccines propelled global stock indices to record highs. With that news came a big “sector rotation”, from industries that had so far benefitted from the crisis (Health Care, Information Technology) back into those that had suffered most (Energy, Financials). We used Axioma’s new Factor-based Fixed Income Risk Model (FFIRM) […]

Style-factor risk premia have been well-documented (and harvested) in the equity world for decades but have proven far more elusive for bonds. The new Axioma Factor-based Fixed Income Model (FFIM) demonstrates that style factors not only do exist in credit, but that they also carry discernible risk premia, which, in turn, can be utilized for systematic, smart-beta investing.

The global equity market recovery continued in the third quarter, as benchmark risk slid. But not all components of risk participated in the decline, and volatility remained much higher than it was when the year started.

The spectacular “recovery” of US blue-chip stock indices is frequently cited as an indication that investors are betting on a swift, “V-shaped” global recovery from the coronavirus crisis.

For many weeks, investors and market commentators have been puzzled by the apparent “disagreement” between the stock and the bond markets over the expected shape of the economic recovery. The sharp rebound of share prices seemed to indicate that equity investors foresee a swift, V-shaped comeback. The ultra-low, or even negative, yields and flat curves […]

Equity markets posted one of the best quarters in more than a decade, but most were not able to cross into black territory for the year.