The devil is in the details when it comes to performance attribution. Here we explain the differences between risk-based vs. Brinson attribution and how using equity risk models can help you understand your drivers of portfolio risk and return.
Market makers and authorized participants (“APs”) in the primary market for ETF shares often need to hedge exposure to shares of ETFs that they must stand ready to convert into the underlying stocks in a “redeem” trade, or to shares of the underlying they must assemble in a “create” trade. When they deliver/accept the ETF shares to the fund sponsor, they will unwind this hedge.
January 2022 saw one of the highest levels of market volatility since the COVID-19 crash of March 2020. During those 20 trading days in January, the STOXX® USA 500 Index fell by almost 6%. Looking back, a key question for investors is: did we overlook any hints of what was coming and, had we an inkling, what might we have done about it?
The collapse of technology stocks this past month may signal the end of another tech bubble, similar to the bursting of the dot-com bubble. In search of some insights, we compared the conditions that led to the formation of both the current technology bubble (2016-2021) and the dot-com bubble (1995-2001).
In our latest whitepaper, ‘Hands-on reverse stress testing’, we provide a practical guide to do just this by leveraging our enterprise management platform Axioma Risk, used to extract portfolio historical simulation data and factor returns.
Qontigo’s new Axioma US Equity Factor Risk Model: Trading Horizon (Trading Model) helps managers with shorter investment horizons to better understand and manage their risk. That said, it is not only for traders.
Historically Canadian equity managers have had difficulty accurately modeling their investment universe across the US and Canada. Compared to those of Canada, the US economy and stock market are much larger making it difficult to properly represent Canada in these types of investment strategies. North America regional risk models used to construct portfolios just aren’t able to capture the nuances of both markets and will be largely dominated by the US.
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.