Historically, bear markets have been rare. Since 1982 there have been five drawdowns of 20% or more (the ‘official’ bear market definition), including the current one, with a cycle of seven to 13 years in between each one. The present case is unusual, as it has only been two years since the last one.
The devil is in the details when it comes to performance attribution. Here we explain the differences between risk-based vs. Brinson attribution and how using equity risk models can help you understand your drivers of portfolio risk and return.
Many investors want to incorporate Sustainable Development Goals in their portfolios. This blog shows that it is possible to create a portfolio that significantly improves the exposure to SDGs without taking on too much active risk.
This paper focuses on creating SDG portfolios that maximize exposure to one, two or all SDGs. The study shows that it is quite possible to create a portfolio that significantly improves the exposure to SDGs without taking on too much active risk. An optimizer can help manage that active risk.
Melissa Brown, Qontigo Managing Director of Applied Research, and Sean O’Hara, President of Pacer ETF Distributors, join Yahoo Finance Live to discuss the inflation outlook, the Fed’s interest rate hikes, economic pressures from Russia-Ukraine peace talks, and CPI data.
For the past 20 years, a multi-factor strategy as targeted by the STOXX Europe 600 Industry Neutral Ax Multi-Factor Index has fared extremely well, and much of that consistent performance can be traced to the benefit of diversifying across different sources of return premia.
Qontigo’s new Axioma US Equity Factor Risk Model: Trading Horizon (Trading Model) helps managers with shorter investment horizons to better understand and manage their risk. That said, it is not only for traders.
After a year of factors performing generally in line with expectations, more US model factors are now producing returns that fall into the top or bottom 15% of monthly values recorded since the model’s inception—a pattern we have not seen since November 2020.
Markets continued to decouple from one another in the fourth quarter, as COVID and its “beneficiaries” continued to drive the prices of some stocks higher, while economic and policy issues, such as inflation and central bank activity, loomed large for others. Expected volatility of the US market rose, and it is now one of the riskiest among the major markets we cover (only Japan is expected to be more volatile over the near term).
Sustainable investing strategies vary. Some investors, for example, simply want to improve ESG alignment. Others seek to maximize their impact on society, by investing in those companies that contribute the most to certain goals. While the metrics that underlie these approaches have some overlap, there is not perfect correlation, in terms of how metrics are defined, how portfolios are constructed, what is being targeted, etc.
In this post we employed a “fact-finding” approach to examine the issue of how much exposure to a single SDG a portfolio can potentially achieve, and how that exposure is related to active risk. For this analysis we used the Axioma Worldwide Fundamental Equity Factor Risk Model – Medium-Horizon and the SDG contribution from the SDI AOP data as of July 1, 2021.