News & Research

Sentiment continued to weaken across all markets we track, except the UK. Elsewhere, the Sector ROOF for the US market broke below the neutral zone into bearish territory (<-0.5) for the first time since April.

Olivier d’Assier discusses modeling the possible outcomes of the election and the potential ramifications of the Biden tax plan on Big Tech.

In this post, we focus on the Health Care sector. A Trump/Republican win would likely put Obamacare in jeopardy—and that could have a large impact on the earnings of companies in that sector.

The divergence between our Style and Sector ROOF variants turned into a convergence on the weak side this week as investor’s risk aversion levels surged in the face of rising new infections across major markets hopes for a second fiscal stimulus package in the US before the elections (Nov 3) diminished.

In this note, we present updated results for the STOXX USA 500 version of our ROOF Market Portfolios. These portfolios include a Risk-On and a Risk-Off variant built directly from the ROOF Scores and constituents of the STOXX USA 500 benchmark portfolio, and rebalanced monthly (at month-end) using the as-of-then sector ROOF scores and exposures (i.e., no look-ahead bias). We will focus on the last 12 months, as this period had several turnarounds in sentiment.

Investor sentiment continued to diverge between our Style and Sector ROOF variants last week with the latter being more neutral than the former.

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.

According to Olivier d’Assier at financial intelligence and risk firm Qontigo, a Biden presidency and a Republican Senate would be “the best case for markets” among a range of outcomes.

We used the Axioma Risk platform to conduct a transitive stress test simulating a 20% drop in each of the five FAANG stocks, calibrating the correlation between them and the other stocks in the STOXX USA 500 using data for the past three months, and estimating the impact on the index portfolio for this scenario.

Investor sentiment declined this past week for all markets we track except the UK. Increasingly negative narrative on the resurgence of new Covid-19 infections across Europe and the US, culminating last Friday with the news that President Trump himself tested positive, weighed on sentiment.

Sector ROOF scores in the US show that sentiment has been neutral for two weeks, after an unusually long bullish period. However, investors may return to their bullish outlook driven by fiscal stimulus and continued (seemingly indefinite) Fed action.

Sentiment has now receded to the neutral zone for the US, Global Developed, UK, and Developed European markets according to at least one of our ROOF variants in each case, and for both variants in some (US in particular).