News & Research

By selecting high-dividend stocks within universes screened for responsible-investing principles, the new suite broadens the possibilities for investors and showcases the versatility of index-based strategies.

The surge in oil prices since November 2020 has highlighted the challenges—and even opportunities—of measuring and managing the impact of swings in oil prices on portfolios.

A new variation of the STOXX Factor Indices, which leverage Axioma’s proven factor models, further restricts sector diversions from the benchmark.

The impact of Robinhood at al did not escape the attention of our risk models. The roles of Liquidity and Leverage as risk factors in the Axioma fundamental models has been in full display on the heels of the recent trading frenzy which sent previously unpopular stocks soaring in January, only to tumble in early February. Other typically “compensated” style factors, such as Volatility and Size, also had a significant reaction, resulting in an overall increase in style factor risk.

In capital markets investing, the greater fool theory1 states that an investor buying a risk asset, no matter its current valuation, can always find a “greater fool” to buy it later at a higher price. The theory rests on the subjectivity of valuations and the fact that beauty (the attractiveness of the investment) is always […]

The US market soared in November, producing one of the highest monthly returns since at least 1982. With regard to factor returns, the month started out fairly slowly. But things changed on November 9, when it started to look like the pandemic could end someday.  We wrote about the impact the news from Pfizer on […]

Returns since Nov. 9 show investors’ ideas about the economy have flipped, favoring Value stocks against the Momentum factor.

November 9 was a profoundly bad day for Momentum. In most regions we cover closely, Momentum’s return for the day was between seven and 10 standard deviations below expectations[1], and the return was the worst of any day going back to 1999, according to Qontigo’s medium-horizon models. The year-to-date return for Momentum in the US went from positive to negative overnight, but remained positive in other regions, albeit far lower.

The third quarter saw a continuation of 2020’s themes for the STOXX® Factor Indices. Signs of renewed life have appeared, however, with Multi-Factor seeing a 0.8% return.

The cost of implementing factor strategies appears at only a fraction of the premia they generate, suggesting they can take significant inflows before reaching full capacity.

Active strategies that tilt on dividend yield have suffered mightily during the Covid-19 pandemic. Dividend yield ETFs, for example, have strongly underperformed the broader US market, as investors lost confidence in companies’ ability to pay dividends. At the same time, the active risk of these ETFs has surged. Not surprisingly, Axioma’s Dividend Yield factor in […]

The US market hit an all-time high this week. So are we finally out of the volatility woods? Not by a longshot. While US predicted risk as measured by Qontigo’s short-horizon fundamental model has retreated substantially, it remains in the top decile of values relative to where it has been historically. It would have to […]