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Whitepaper - July 2020

Introducing ROOFTM Market Portfolios: Capitalizing on the Mood Swings of Markets?

Qontigo’s ROOFTM Scores were created to quantify the changing risk appetites of investors: are they bullish and risk-tolerant, neutral, or bearish and risk-averse? And in what direction are those sentiments trending? An acronym for Risk-On/Risk-OFF, the first ROOF variant, Style ROOF, was introduced in 2018. It tracks returns of eight fundamental style factors as a way of quantifying investor sentiment. The Sector ROOF, introduced in 2019, defines a risk-on/risk-off “sector personality”, and then looks at sector performance for an additional perspective on investor sentiment.

Qontigo is now pleased to be introducing the next chapter in the series, ROOF Market Portfolios. These portfolios will enable investors to benefit from the insights inherent in the ROOF scores, so they can not only track investor sentiment, but use it as an investment guide — thus providing increasingly meaningful opportunities for portfolio managers to enhance performance.


Olivier d'Assier

Senior Principal, Applied Research - APAC