Portfolio Risk Management

Economic worries continue to drive down bond yields; Bunds follow Treasuries higher despite surge in domestic inflation; Portfolio risk rises marginally, as higher bond contributions offset lower equity volatility.

All US sectors up despite GDP data; Risk surges in China as market drops; Momentum fares better in Emerging Markets.

Investors remain trapped at the intersection of rising inflation and slowing economic growth – two worries that when combined at their extreme, makes them think of stagflation. And while no-one is using the s-word yet, this lack of clarity continues to negatively affect the collective unconscious.

Strong earnings and central-bank support lift European stocks and bonds alike; Dollar continues to strengthen, as stock market posts record high; Portfolio risk surges amid stock-market turbulence.

While the US market has hit multiple record highs in 2021, investor sentiment thus far has been more negative than positive.

Spread between short-horizon statistical and fundamental forecasts widens in the US; Sector exposures to Momentum and Market Sensitivity have changed substantially this year; Market Sensitivity returns have reversed course.

Investors remain worried that the combination of inflationary pressures and COVID-19 variants will cancel the happy ending for the economy that markets have been hoping for.

The best risk model is the one most closely aligned to your strategy. That’s why Qontigo offers you a range of Equity Factor Risk Models connected as a single linked risk model.

The best risk model is the one most closely aligned to your strategy. In some cases, using a single integrated regional model may help you achieve better results. We offer a range of Equity Factor Risk Models – US, Developed Markets ex-US, and Emerging Markets – connected as a Linked Model for more flexible and tailored risk forecasting and attribution.

Sovereign yields continue to fall spurred by safe-haven buying and central banks; Gilt curve pivots, as inflation worries battle with economic-growth concerns; Flight to quality reduces portfolio risk.

Spread between short-horizon statistical and fundamental forecasts widens in the US; Sector exposures to Momentum and Market Sensitivity have changed substantially this year; Market Sensitivity returns have reversed course.

Investor sentiment declined from recent highs in all major regions last week, with investors in Developed Europe curbing the recent surge in enthusiasm and rejoining others in the ambivalence of neutral zone.