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News & Research
Most Recent News & Research
Recent market developments and investing trends have prompted investors to reconsider their investment allocations. Factors assist investors in understanding the present market and informing their investment decisions. Melissa Brown, Managing Director of Applied Research, joins two experts to discuss factor investing in this video.
As part of the recently announced partnership between CEPRES and Qontigo, we are developing a suite of factor risk models that provide broad coverage of the private market space in Axioma Risk.
Analytics | Index | Factor Investing
Macroeconomic exposures of style indices: What you don’t know could hurt you
We look into the economic risks of employing factor-style strategies such as those in the STOXX Factor Indices, by screening them through Axioma’s Macroeconomic Projection model. The findings show that some styles have more economic exposure than others, and that macro variables can be correlated with industry, country and style factors, to different degrees.
Analytics | Index | Benchmarks
Together in ’22: Qontigo Investment Intelligence Summit returns to London, New York
After two years of virtual gatherings, I’m thrilled to announce that the flagship Qontigo Investment Intelligence Summit will return in person this May. This year’s Summit, which we have called ‘Together in ’22,’ will take place in London on May 5 and in New York on May 19. The two events will offer insights on some of the most important […]
For years, factor investing has demonstrated its potential to outperform the general market.
After a year of factors performing generally in line with expectations, more US model factors are now producing returns that fall into the top or bottom 15% of monthly values recorded since the model’s inception—a pattern we have not seen since November 2020.
Investor sentiment in 2021 can be summed-up in one word: “concerned”. Generally speaking, investors know there are only a handful of events that can spark a turning point in a market cycle — and in 2021 most expected tapering to be one of them.
Analytics | Factor Investing
The Economy Is Stressed Enough, but Don’t Let it Stress Out Your Portfolio!
In this article we examine stress-test results to determine the ex-ante performance impact of the variables in the Axioma Worldwide Macroeconomic Projection Equity Factor Risk Model (Macro Model).
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.
Analytics | Portfolio Risk Management
After years of dateless Saturday nights, Value finally goes to the prom. But will it become Prom King?
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.
Analytics | Factor Investing
Wait a second… Is that style or economic impact? And what does it mean for performance?
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.
Analytics | Portfolio Risk Management
Oil-price swings pushing your equity portfolios around? Consider using an Oil Sensitivity metric…
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.