Standalone equity volatility in Qontigo’s global multi-asset class model portfolio has dropped by a third since the beginning of February—yet the current predicted risk for the total portfolio of 6.6% is only marginally lower than the 7.2% of 11 weeks ago. The main reasons for this are that share and bond prices are no longer negatively correlated, while the recent dollar weakening has once more amplified the returns of non-US stocks.
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.
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.
The countdown has begun. The Securities and Exchange Commission (SEC) adopted the 18f-4 Derivatives Rule in October last year, which means most SEC-registered companies will now have to make sure they don’t fall foul of the rule by August 19, 2022. While it seems a long time away, it’ll be here before you know it. To that end, we’ve put together a few questions you should ask your existing – or potential – risk solutions provider.
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 […]
This post was originally published in 2019 with 9 different challenges. We have added an additional challenge and will present our results in more detail on March 17, 2021. Register for the webinar: https://qontigo.com/event/top-10-challenges-of-credit-construction/. We have developed an algorithm to produce thousands of robust issuer-specific and generic rating/sector credit curves. In this blog post, we […]
Rule 18f-4 is likely the most significant change ever to the way the SEC regulates funds’ use of derivatives, and will have a large impact on how registered companies will need to manage their derivatives risk. We hosted a Risk.net webinar with Dechert LLP and Wellington Management to discuss what this important legislation entails, how firms are preparing for it and what risk measurements are required. The main message? Companies need to focus on this now to make the Aug. 19, 2022 deadline.
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.