Most Recent News & Research
US Small Caps soar on vaccine news; US Energy and Industrials strengthen; Investors push the risk envelope.
Multiple positive news regarding potential vaccines has helped sentiment rebound off its previous week lows except in developed Europe and the UK, where it continues to worsen.
ZUG (November 20, 2020) – On Friday, Qontigo’s global index provider STOXX Ltd. announced an unscheduled change to the MDAX index. Due to the takeover of Metro AG (DE000BFB0019) by EP Global Commerce the free float of Metro AG changed by more than 10 percentage points. Deutsche Version According to the Guide to the DAX […]
Returns since Nov. 9 show investors’ ideas about the economy have flipped, favoring Value stocks against the Momentum factor.
Derivatives tied to the Eurozone index and its dividends have enabled traders to hedge their exposure to corporate payouts during this year’s uncertain times.
The first three charts compare STOXX equity indices with HY corporate BB credit spreads (inverted, 5Yr point of Qontigo Cluster Curves). Correlations over the longer HISTORICAL period have been steadily increasing in the three main regions (correlations use monthly overlapping returns with 5Yr lookback, 6m moving average) Increase in HY issuance as well as higher […]
Analytics | Portfolio Risk Management
Multi-Asset Class Risk Monitor Highlights | Week Ended November 13, 2020
Investors ditch safe-haven assets on vaccine news; As risk appetites return, yen and franc drop; Increased diversification lowers portfolio risk.
Country-level volatility soars globally; Momentum posts some of its largest drops in over two decades; Style factor volatilities jump.
Increased uncertainty from rising new infection cases globally, the threat of further lockdown measures, the lack of an official victory in the US elections, and other Trumpisms, unnerved investors last week with Sentiment declining further in all markets we track. Global Developed and Emerging markets, Developed Europe, Asia ex-Japan, and the US are now all in bearish territory.
As investor interest in sustainable assets continues to rise, a big challenge is how to ensure fund managers live up to their ESG claims.
A new STOXX index tracks the largest companies facilitating and benefitting from the digital revolution in financial services.
The recent Industry Classification Benchmark (ICB) revamp has introduced slight risk-profile adjustments at a portfolio’s sector level. A new Qontigo study unveils the extent of the changes.
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