News & Research

Olivier d’Assier joined MONEY FM 89.3 on Prime Time to discuss what indicators Qontigo is tracking to determine market bubbles, and how badly should investors brace themselves should these potential bubbles burst.

Buy-side market risk management product of the year: Qontigo

Against the backdrop of positive vaccine developments and upbeat Chinese data, the benchmark Straits Times Index (STI) rebounded from the previous day’s loss to close 0.29 per cent or 8.17 points higher at 2,814.12.

“The SDI AOP is a huge step forward by creating a set of easy-to-use and cost- efficient data – as opposed to a piece of required software – that can be incorporated into existing tools for investment decisions and reporting,” explains Ian Webster, Senior Managing Director at Qontigo.

According to Olivier d’Assier at financial intelligence and risk firm Qontigo, a Biden presidency and a Republican Senate would be “the best case for markets” among a range of outcomes.

“Top-line market volatility has indeed declined but remains high relative to history. In fact it would have to go down another 30 percent just to get to the long term median level,” said Melissa Brown, global head of Applied Research at Qontigo.

Rising volatility and correlation could trip markets, according to Olivier D’Assier, head of applied research for Asia-Pacific at Qontigo.

“Investors view data breaches as the cost of doing online business,” said Olivier D’Assier, head of applied research for Asia-Pacific at Qontigo GmbH.

Qontigo’s second win in this year’s Waterstechnology.com Sell-Side Technology Awards is for the best sell-side market risk product, the Axioma Factor-based Fixed Income Risk Model.

Data from Qontigo showed that value and earnings yield have underperformed since the start of crisis, aside from a few days in May.

Olivier d’Assier observed that the spread between BBB-rated, non-financial corporate bonds that are dollar-denominated and their global counterparts spiked to nearly 400 basis points.

In this article we exemplify how the Axioma Factor-based Fixed Income Risk Model, can be used to construct smart beta strategies in the corporate credit and bond markets.