News & Research

Factor risk models can help hedge fund managers understand risk factors and exposures and can be an important part of their toolset. This is why we provide clients both statistical and fundamental risk models as a standard package, enhancing the potential for signal and alpha generation.

Get ready for the next 18 months – it could be a bumpy ride. And if it is, you’ll be well prepared for some of the most potentially disruptive ESG events (Economic, Security and Geopolitical!) with well thought-out stress tests. Below, we highlight what’s coming up, alongside some examples of comparable events you can use to help construct the most meaningful stress tests.

The rise of the mass affluent market and its rapidly changing customer behaviour and preferences have been the driving force behind digital acceleration in the wealth management ecosystem. In this blog, Tanya Bartolini, Co-Founder of multi-asset investment technology provider Jacobi, explains how wealth management organizations can use institutional-grade technology to ‘lift the lid’ on investment decision-making and provide richer insights to clients.

If you are a wealth manager, you are unlikely to have had a conversation about the performance of your clients’ portfolios without talking about taxes. Yet, surprisingly, much of the research and discussion about portfolio management is based on pre-tax returns.

In 10 charts, Diana Baechle, Principal of Applied Research at Axioma, summarizes the initial market reactions of Israel and the Middle East to the Israel-Hamas war.

Time for our quarterly review of the ROOF portfolios, the sentient investment strategies built from our ROOF Score sentiment indicator. In this note we will discuss the performance of both the US and European portfolios in Q3 as well as year-to-date in 2023.

The current high levels of interest rates and the deep inversions of sovereign yield curves have given investors much concern about the potential negative implications for economic growth.

No market remains in strong-form efficiency all the time. Investment decisions are based on forecasts about the future, which implies a certain degree of error – the so-called ‘known unknowns’. But when the macro situation becomes highly uncertain, the size of the errors around those forecasts increases, and conversely, confidence in them decreases. During these periods, when markets adopt a weak-form efficiency, human emotions start to dominate decision-making, especially when faced with new, negative, and unexpected outcomes – the so-called ‘unknown unknowns’.

The Magnificent Seven (Amazon, Apple, Google (Alphabet), Meta, Microsoft, Nvidia and Tesla) make up more than a quarter of the US market, and their stellar performance has driven the US market’s outperformance so far this year. But this overblown market concentration is unsustainable and may result in a swift reversal, exposing investors to greater risk. Investors have been in a tough spot this year, having to choose between partaking in the extraordinary returns of the Magnificent Seven and avoiding the risks that come with an over-concentrated portfolio. Here we look at the impact of the Magnificent Seven on the US market through the lens of ten charts.

We love data. Our clients love data. But when it comes to truly understanding the risk-reward trade-off of an investment strategy, sometimes the devil isn’t in the details. In a whitepaper, “What are the odds?: Getting a better read on portfolio risk-return metrics”, we advocate for spending more time with the portfolio summary metrics as the first port of call, before jumping in headlong into more granular statistics.

Despite all the uncertainty surrounding key macro inputs, as well as a volatile geopolitical environment, the STOXX US Index is up more than 18% year to date in line with other major US large-cap indices. And quite notably, market volatility, as measured by the various time horizons in our risk models and VIX, has been steadily declining.

As hedge funds pile up short Treasury future positions like it’s February 2020, certain parts of the financial markets are getting nervous that we could be in for a repetition of the liquidity crisis seen in early March that year.