Factor Investing

As part of the recently announced partnership between CEPRES and Qontigo, we are developing a suite of factor risk models that provide broad coverage of the private market space in Axioma Risk.

US and Asian stocks fell in February, as better-than-expected economic reports in the US signaled the Federal Reserve has room to continue raising interest rates. European shares climbed when measured in euros.

Four new indices have been added to the STOXX Equity Factor suite, which offers diversified multifactor exposure to five equity style risk premia sources. Powered by STOXX’s indexing capabilities and Axioma’s risk models and portfolio optimizer, the indices deliver balanced and well-researched factor exposures, seeking long-term outperformance.

Stocks jumped in January as expectations built up that inflation worldwide may have peaked and that any recession in key developed economies may be mild.

Stocks declined in December, wrapping the STOXX® Global 1800 index’s worst year since 2008, as investor concerns lingered about the impact of inflation and higher interest rates on economic and earnings growth.

The STOXX® Global 1800 index rose for a second straight month in November as investors raised expectations that higher interest rates are helping temper inflation.

We look into the economic risks of employing factor-style strategies such as those in the STOXX Factor Indices, by screening them through Axioma’s Macroeconomic Projection model. The findings show that some styles have more economic exposure than others, and that macro variables can be correlated with industry, country and style factors, to different degrees.

The customized index is an optimized solution that balances multiple investment objectives and uses various inputs, including LGIM’s proprietary ESG data.

The STOXX® Global 1800 index rebounded from a two-year low last month on investors’ expectations that the Federal Reserve may soon slow down the pace of interest-rate hikes.

In September, stocks suffered the worst monthly selloff since March 2020, with the STOXX® Global 1800 index erasing all of its gains from the northern hemisphere’s summer, as central banks around the world pushed ahead with more interest-rate hikes.

Lukas Smart, Head of US iShares Sustainable and Factors Product Segments, and Arun Singhal, Qontigo’s Global Head of Index Product Management, discuss the recent update to BlackRock’s multi-factor offering and the outlook for factor investing.