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News & Research
Most Recent News & Research
In capital markets investing, the greater fool theory states that an investor buying a risk asset, no matter its current valuation, can always find a “greater fool” to buy it later at a higher price.
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.
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.
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 | 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.
Analytics | Portfolio Risk Management
Tracking error of Russell 2000 vs. Russell 3000 soars to 25-year high…and yours could too
Equity markets have mostly recouped the losses of the downturn that started in February of this year, but at different rates.
Much of the recent market turmoil has been driven by worries about debt. Granted, debt is not a bad thing, per se.
We noted in a recent blog post that market volatility has plateaued, but at a high level relative to history.
We have often discussed in recent months how company factor exposures — most notably to market sensitivity (aka beta) — had turned topsy-turvy, a result not only of the market plunge but also as investors sorted out their expectations for relative winners and losers of the COVID pandemic.
Analytics | Portfolio Risk Management
Amid Covid-19, some sectors are misbehaving — with a big impact on turnover for sentiment-aware investors
The Covid-19 pandemic has clearly affected some sectors more than others.
Analytics | Portfolio Risk Management
A Sentimental Chronology: The Ascents—and Descents—of the Wall of Worry in 2020
The notion that markets “climb a wall of worry” is a commonly held view in the investment world.