The recent euphoric trading of GameStop and other high-flying stocks—prompted by retail traders trying to squeeze institutional short sellers out of their positions—had a substantial impact on specific risk, particularly on less diversified portfolios, but even large benchmarks such as the Russell 2000 have been affected. The frenzy produced large dislocations in equity-portfolio active risk. […]
Sustainability has moved from a tangential consideration to a crucial criterion in portfolio construction. A line-up of experts told this year’s Qontigo Investment Intelligence Summit how this evolution is re-shaping the entire investment landscape.
This study explores the impact of the reclassification, from a risk-oriented perspective, on the STOXX® Global 1800 and STOXX® Europe 600 indices. We focus our analysis on the highest two tiers of the classification: Industry and Supersectors.
The US market saw an even stronger concentration in stocks recently, with FAANGs (Facebook, Amazon, Apple, Netflix and Google) accounting for 14% of the weight in the STOXX USA 900 on Oct. 9. Add Microsoft to the mix, and the six stocks made up 20% of the US index. Just since July, the aggregate weight of these six stocks increased by one percent in the US index.
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 […]
The US market hit an all-time high this week. So are we finally out of the volatility woods? Not by a longshot. While US predicted risk as measured by Qontigo’s short-horizon fundamental model has retreated substantially, it remains in the top decile of values relative to where it has been historically. It would have to […]
Most games are defined by their probabilities. Take a coin toss, for example. If the coin is fair, players should expect an average of zero wins over the long-term given the game’s 50-50 probability. By the same token, an investor with no information, assuming normally distributed returns and an unlimited number of tries, should expect […]
For many weeks, investors and market commentators have been puzzled by the apparent “disagreement” between the stock and the bond markets over the expected shape of the economic recovery. The sharp rebound of share prices seemed to indicate that equity investors foresee a swift, V-shaped comeback. The ultra-low, or even negative, yields and flat curves […]
Yet another issue has recently cropped up, leading to unique challenges for investors in the current market environment — the impact of SEC diversification rules, which until now have not had a substantial portfolio impact. My colleague Diana Baechle recently wrote a blog post detailing the substantial impact of the FAANG stocks on risk and […]