Much has been written about the spectacular comeback of Value stocks. But has this also been reflected in the credit market? The steep rise of the Value factor from the Axioma Factor-based Fixed Income Risk Model over the past 14 months seems to suggest that the answer is yes.
The FAANGs (Facebook, Amazon, Apple, Netflix, and Google) were the market darlings of the COVID-19 Pandemic, attaining almost cult-like status with investors in 2020. Only Microsoft and Tesla came close to winning such adulation.
After experiencing a period of steadily rising returns from 1982 through 2006, investing in “cheap” stocks has been out of favor since 2007. Granted, a few good quarters for the Value factor have popped up every now and again, but so have strings of poor performance, yielding a return of roughly 0% over the 13-year period ended September 2020.
Foreign-exchange rates can be very volatile. Investors looking to bet on markets outside their own base currency must decide whether to embrace or mitigate the additional risk. In this paper, we propose a stress-testing framework that can help investors with the decision whether “to hedge or not to hedge”, given their assumptions on expected returns and cross-asset correlations.
In this research piece, we demonstrate the value of the Axioma Worldwide Equity Linked Factor Risk Model (WWLM4-MH or ‘Global Linked Model’) for solving two very common analytical problems when managing global portfolios. Global equity mandates are often broken into specialist mandates segregated by geography.
The recent release of the Axioma Macroeconomic Projection Equity Factor Risk Model highlights the risk and return impact of economic variables on equity strategies. Quantitatively driven portfolios are usually constructed (and invested in) without considering the potential impact of big moves in economic variables.
Dividend Yield strategies are starting to stage a comeback, no thanks to European banks. After banks stopped paying dividends and exited the STOXX Europe Select Dividend 30 index, the index saw large changes in its profile, with Real Estate contributing the largest proportion of dividend yield to the index, followed by Insurance. The tracking error […]
The macroeconomy has dominated financial news in recent weeks, driven in no small part by the specter of rising inflation. In a fortunate coincidence, Qontigo has just released the new Axioma Macroeconomic Projection Equity Factor Risk Model (WWMP4).
Recent market movements bring back memories of a similar series of events almost exactly three years ago: a sudden drop in share prices, a sharp rise in Treasury yields and a strengthening dollar—all of it blamed on inflation.
The new Axioma Worldwide Macroeconomic Projection Equity Factor Risk Model offers a unique way to identify a portfolio’s exposures to macroeconomic factors, such as interest rates and inflation, while maintaining the structure and benefits of a more traditional fundamental equity factor risk model.