News & Research

The US market saw an even stronger concentration in stocks recently, with FAANGs (Facebook, Amazon, Apple, Netflix and Google) accounting for 14% of the weight in the STOXX USA 900 on Oct. 9. Add Microsoft to the mix, and the six stocks made up 20% of the US index. Just since July, the aggregate weight of these six stocks increased by one percent in the US index.

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 COVID-19 crisis has accentuated long-term trends in the European equity market, with Health Care solidifying its dominance in the STOXX® Europe 600 Index, and Banks shedding further ground.

Active strategies that tilt on dividend yield have suffered mightily during the Covid-19 pandemic. Dividend yield ETFs, for example, have strongly underperformed the broader US market, as investors lost confidence in companies’ ability to pay dividends. At the same time, the active risk of these ETFs has surged. Not surprisingly, Axioma’s Dividend Yield factor in […]

While FAANGs have long basked in the investment spotlight, the digital transformation accelerated by the coronavirus crisis has dramatically amplified the market influence of these tech giants in the US. In fact, the phenomenal run of FAANGs—Facebook, Amazon, Apple, Netflix and Google (i.e., Alphabet Inc.)—has pushed the US market into the black year to date. […]

China’s weight may dominate Emerging Markets, but returns and risks have gone their own way. Emerging Markets in aggregate have not mirrored China’s recent equity-market gains. And while China’s risk has spiked, Emerging Markets’ risk has continued to fall. Chinese stocks rallied as Emerging Markets failed to report YTD gains Chinese stocks rallied for eight […]

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.

US Mortgage Real Estate Investment Trusts (Mortgage REITs) have been crushed by the coronavirus crisis, substantially underperforming the US equity market as a whole, as their risk has skyrocketed to levels not seen by any US industry in at least three decades. While considered equities, Mortgage REITs’ business model makes them much more bond-like than […]

How have local equity markets been impacted by different lockdown regimes? Most countries’ markets have suffered large year-to-date losses, irrespective of lockdown measures, dragged down by the overall market rout, while their risk skyrocketed. But there was one exception—and the dominance of the Pharmaceutical industry in that country and its low beta to the regional […]

We recently held a webinar and released the corresponding Quarterly Insight report. In both we detailed drivers of the sharp increase in risk during the first quarter and the implications for active portfolio management. We had several key takeaways: Indices around the globe saw risk rise to twice to six times their beginning-of-quarter levels. The increase in risk […]

The first quarter of 2020 came in roaring like a lion and went out like a (slaughtered) lamb. After stock indices were pushing new records in the first half of the quarter, the bloodbath in equities that followed not only ended the longest-running bull market in the US history, but also threw indices worldwide into a bear market.

Investors flocked to US Utilities, a defensive sector that could help immunize portfolios against volatility caused by the growing coronavirus outbreak. Stocks around the globe fell last week, after WHO declared the coronavirus epidemic an international health emergency. Businesses were disrupted in China and internationally, amid broad efforts to contain the virus, with entire cities […]