The global equity market recovery continued in the third quarter, as benchmark risk slid. But not all components of risk participated in the decline, and volatility remained much higher than it was when the year started.
The combination of Axioma Equity Risk Models and STOXX Indices, coupled with improved monitor features, increase the ability of investors to understand the risk environment in which they are operating.
We used the Axioma Risk platform to conduct a transitive stress test simulating a 20% drop in each of the five FAANG stocks, calibrating the correlation between them and the other stocks in the STOXX USA 500 using data for the past three months, and estimating the impact on the index portfolio for this scenario.
We can all agree that understanding risk – specifically, the reason why a risk number has changed – is key for sound portfolio management. This understanding becomes even more important in times of volatility when correlations that once moved in one direction can swing the other way, reducing – or even removing altogether – the diversification that was intended to protect a portfolio. But this change in risk could be down to a number of reasons, making this task quite a challenging one.
New ESG futures and options on DAX 50 ESG and EURO STOXX 50 ESG Indexes A step forward from ESG screening to an integration methodology FRANKFURT, October 7, 2020 – The international derivatives exchange Eurex is supporting the strong global trend towards responsible investing by expanding its ESG segment. With futures and options on the […]
Understanding changes in risk estimates can be key, especially in times of crisis when volatilities spike and correlations point in the same direction, eliminating the diversification that was supposed to protect a portfolio.
UK curve steepens, as BoE mulls negative rates; Dollar drops and share prices recover—again; Portfolio risk falls on weaker equity/oil interaction UK curve steepens, as BoE mulls negative rates The monetary policy-sensitive 2-year Gilt yield climbed to its least negative level in more than a month in the week ending October 2, 2020, as mixed […]
Investor sentiment declined this past week for all markets we track except the UK. Increasingly negative narrative on the resurgence of new Covid-19 infections across Europe and the US, culminating last Friday with the news that President Trump himself tested positive, weighed on sentiment.
ZUG, October 5, 2020 – Today, Qontigo’s global index provider STOXX Ltd. launched a market consultation as part of a reform of the DAX Selection Indices. The objective is to introduce extended qualification criteria for index membership in the DAX Selection Indices (DAX, MDAX, SDAX and TecDAX), and to align them with international index standards. […]