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News & Research
Most Recent News & Research

Analytics | Portfolio Risk Management
2022 ROOF portfolios performance review: Risk aversion and sentiment alignment get rewarded for the second year in a row
The ROOF portfolios use the sector ROOF Scores to construct sentiment-tracking portfolios designed to capture the returns from the implementation of a bullish or bearish strategy. For the second year in a row, constructing portfolios aligned with the overall negative sentiment in the market generated significant outperformance relative to ‘holding’ the benchmark portfolio or adopting a contrarian bullish strategy.

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
From pandemic profiteers to stagflation hostages: FAANGs stranglehold weighs on US market
The FAANGs — Facebook (now Meta), Amazon, Apple, Netflix and Google (i.e., Alphabet) — are having an annus horribilis. But they still have gains to show for the past three years, and, importantly for investors, the group’s influence on the US market has only decreased so much.

Analytics | Portfolio Risk Management
Higher interest rates will not save the pound—nor will a weaker currency prop up the UK stock market
Conventional wisdom has it that higher interest rates make a currency more attractive to foreign investors, whereas a weaker exchange rate can be good news for export-oriented economies. Neither is true for the United Kingdom right now.

In a new research paper, we showcase how a portfolio manager can replicate fixed income indices using the Axioma Portfolio Optimizer and the new Axioma Credit Factor Model to create optimal US high- yield portfolios. In the workflow, we replicate a US high yield index with liquid bonds and a set of derivatives and test the solution from a risk perspective. The end goal is to create a set of portfolios that is more cost efficient, as (or more) liquid and as diversified as the index.

Analytics | Portfolio Risk Management
Hoping for inflation to come down? Beware of what you wish for…
Our stress tests generated in Axioma Risk indicate that further rate hikes could mean even more bad news for stocks and bonds alike, even if, or rather because, they help bring down anticipated consumer-price growth.

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.

The ROOF portfolios use sector and style ROOF Scores to construct sentiment-tracking portfolios designed to capture the returns from the implementation of a bullish or bearish strategy. In a difficult first half of the year, aligning portfolios with the overall negative sentiment in the market generated significant outperformance relative to ‘holding’ the entire market or ignoring the average investor’s outlook.

Analytics | Index | ESG & Sustainability
Measuring the implied risk tolerance of SDG-optimized portfolios
The ROOF methodology can capture the ‘sentiment’ of a portfolio relative to its benchmark. We run ROOF scores to determine the risk appetite of investors holding four portfolios aligned with respective Sustainable Development Goals.

Courtney Scharff, Qontigo’s Global Head of Strategic Partnerships recently spoke with RepRisk’s CEO, Dr. Philipp Aeby to discuss the partnership. The conversation touched on how RepRisk differentiates its ESG data offerings through full transparency, the challenges of creating ESG data and how asset managers should think about ESG.

Analytics | Portfolio Risk Management
A thesis redux: The equity market downturn probably has more to go if history is any guide
Historically, bear markets have been rare. Since 1982 there have been five drawdowns of 20% or more (the ‘official’ bear market definition), including the current one, with a cycle of seven to 13 years in between each one. The present case is unusual, as it has only been two years since the last one.

Analytics | Portfolio Risk Management
Risk-based or Brinson attribution? Details matter when it comes to measuring performance
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.