News & Research

The surge in oil prices since November 2020 has highlighted the challenges—and even opportunities—of measuring and managing the impact of swings in oil prices on portfolios.

The impact of Robinhood at al did not escape the attention of our risk models. The roles of Liquidity and Leverage as risk factors in the Axioma fundamental models has been in full display on the heels of the recent trading frenzy which sent previously unpopular stocks soaring in January, only to tumble in early February. Other typically “compensated” style factors, such as Volatility and Size, also had a significant reaction, resulting in an overall increase in style factor risk.

In capital markets investing, the greater fool theory1 states that an investor buying a risk asset, no matter its current valuation, can always find a “greater fool” to buy it later at a higher price. The theory rests on the subjectivity of valuations and the fact that beauty (the attractiveness of the investment) is always […]

US small-cap stocks close in on their larger counterparts; Value sees a strong reversal—except in Japan; The greenback continues to weaken.

Qontigo launched its first Worldwide Equity Linked Factor Risk Model, providing targeted factor exposures through a combination of the Axioma US, Developed Markets ex-US and Emerging Market Equity Factor Risk Models.

The US market soared in November, producing one of the highest monthly returns since at least 1982. With regard to factor returns, the month started out fairly slowly. But things changed on November 9, when it started to look like the pandemic could end someday.  We wrote about the impact the news from Pfizer on […]

Qontigo has been named as the category winner for portfolio and factor modeling by Chartis Research in their RiskTech100® rankings for the second consecutive year. Qontigo also placed 18th in the overall analysis of the “world’s major players in risk and compliance technology.”

Global ex-US markets reach new YTD highs on vaccine news and start of Biden transition; Japan reaches 30-year high on vaccine news and Size factor returns shoot up; European investors react positively to vaccine news and start their rotation trade.

Country-level volatility soars globally; Momentum posts some of its largest drops in over two decades; Style factor volatilities jump.

November 9 was a profoundly bad day for Momentum. In most regions we cover closely, Momentum’s return for the day was between seven and 10 standard deviations below expectations[1], and the return was the worst of any day going back to 1999, according to Qontigo’s medium-horizon models. The year-to-date return for Momentum in the US went from positive to negative overnight, but remained positive in other regions, albeit far lower.

Factor investing has gained popularity in recent years and large asset flows have been recorded into so-called smart beta and risk premia themed products.

Active strategies that tilt on dividend yield have suffered mightily during the Covid-19 pandemic. Dividend yield ETFs, for example, have strongly underperformed the broader US market, as investors lost confidence in companies’ ability to pay dividends. At the same time, the active risk of these ETFs has surged. Not surprisingly, Axioma’s Dividend Yield factor in […]