News & Research

The new Axioma Worldwide Macroeconomic Projection Equity Factor Risk Model offers a unique way to identify a portfolio’s exposures to macroeconomic factors, such as interest rates and inflation, while maintaining the structure and benefits of a more traditional fundamental equity factor risk model.

Qontigo launched the Axioma Worldwide Macroeconomic Projection Equity Factor Risk Model (“Macro Model”), which is designed to capture the investment risk of a global portfolio through the lens of macroeconomic risk factors.

Stock and bond prices both fall over inflation concerns; Dollar strengthens as rates rise; Portfolio risk ebbs despite joint stock-bond sell-off.

Every market we track except the UK and Australia have seen a further deterioration in sentiment. The decline in sentiment is not new, however last week, markets finally heeded the call and declined in-line with sentiment.

Developed Markets take a hit, as Emerging Markets remain flat; US tech shares dragged down by threat of rising interest rates; US asset diversification climbs to pre-pandemic levels.

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.

Investors are getting jittery over inflation, thanks to continued fiscal stimulus, combined with the effects of prolonged monetary easing. This, in turn, has pushed long-term government rates to 12-month highs, while share prices continue to climb.

This is the third installment of a series of posts highlighting the risk-measurement benefits of a model that links separate regional models, versus a single global model.

In this paper, we take a closer look at the pairwise interactions of some of the asset-class pairs and review how they affected the risk of a global multi-asset class portfolio over the past 14 months, with a particular focus on the most recent environment.

Inflation concerns drive sell-off of long treasuries; Pound surges on vaccination success and rising rate expectations; Portfolio risk falls, as equity volatility continues to slide.

Value finally picks up some steam; Exposure to Value lifts last year’s sector losers in the US; UK small-cap shares strongly outperform.

Markets and sentiment continue to diverge. A shift has taken place among some market participants towards the speculative model and away from the fundamental one.