News & Research

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. 

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, and the return was the worst of any day going back to 1999, according to Qontigo’s medium-horizon models.

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.

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 drop by almost 50% from its current level just to get back to the long-term median.

Factor investing is an investment strategy in which securities are chosen based on certain characteristics with the goal of achieving a given investment outcome.

China’s weight may dominate Emerging Markets, but returns and risks have gone their own way. Emerging Markets in aggregate have not mirrored China’s recent equity-market gains. And while China’s risk has spiked, Emerging Markets’ risk has continued to fall.

Equity markets have mostly recouped the losses of the downturn that started in February of this year, but at different rates.