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News & Research
Most Recent News & Research
Analytics | Portfolio Risk Management
The US market can thank its FAANGs even more now — just keep an eye on risk
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.
The COVID-19 crisis has accentuated long-term trends in the European equity market, with Health Care solidifying its dominance in the STOXX® Europe 600 Index, and Banks shedding further ground.
Analytics | Portfolio Construction
Want to Know What’s in Store for the Global Economy? Don’t Look to the US Stock Market…
The spectacular “recovery” of US blue-chip stock indices is frequently cited as an indication that investors are betting on a swift, “V-shaped” global recovery from the coronavirus crisis.
Analytics | Factor Investing
Where is There Room to Grow? Assessing the Capacity of Factor Investing Strategies
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.
Analytics | Portfolio Risk Management
Stressed-Out Dividend Yield Strategies Could Leave Some Wiggle Room in Your Risk Budget
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.
Analytics | Portfolio Risk Management
Current Nagging Concerns—and One Bit of Good News—for Active Managers in the US
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.
Analytics | Index / ETFs
Odds Are Good that Markets Will Keep Rising… as Long as Volatility Declines
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.
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.
Analytics | Portfolio Risk Management
Diversification Enhancer or Performance Detractor? The Concentration Rule’s Impact on Growth Performance
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.
While FAANGs have long basked in the investment spotlight, the digital transformation accelerated by the coronavirus crisis has dramatically amplified the market influence of these tech giants in the US.
The Index Effect is the phenomenon where stocks that are added to an index experience positive excess returns in the days before being officially added.
Analytics | Portfolio Risk Management
Emerging Markets lag China in equity-market gains, but also risk
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.