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News & Research
Most Recent News & Research
Analytics | Portfolio Risk Management
How deflated investor sentiment knocked the wind out of the market in Q3
The mood of investors in Q3 2021 was decidedly undecided—and increasingly skeptical. Questions about the strength of the economic recovery, persistent inflationary pressures, the world’s ability to overcome the pandemic, and the timing of any tapering efforts by major central banks kept sentiment on the negative side of the neutral zone.
Analytics | Portfolio Risk Management
Qontigo Insight Q3 2021 Quarterly Risk Highlights: It is remarkable how unremarkable the risk environment turned out to be
In Q3, risk rose slightly in the US, somewhat more in Emerging Markets, Japan and Australia, and substantially in China and Asia ex-Japan.
Analytics | Portfolio Construction
German Bund Yields Could Rise After the Election, But That May Not Be a Bad Thing
The votes from Germany’s federal election have been counted, but the result was far from decisive. We may be weeks, or even months, away from knowing who will succeed Angela Merkel as the next chancellor.
Using our portfolio construction tools combined with Redpoint’s forecasted dividend yield, alpha signal and local market expertise, we developed an optimized income methodology.
Analytics | Portfolio Risk Management
Qontigo Insight Q2 2021 Quarterly Risk Highlights: The “New Normal” is Back to the “Old Normal”(Or BTTON)
Risk fell again across most indices in Q2 – US short horizon risk finally retraced its path back to where it stood before the 2020 crisis. Almost all components of risk contributed to the decline.
Over time, market-moving events generate either more need or want for portfolio rebalancing. Using each metric’s contribution to the overall market ROOF scores, we can track the motivational nature of the aggregate market move each day (i.e., are they driven by want or need?).
Index | ESG & Sustainability
Beyond ESG: From ‘How Does Sustainability Affect My Portfolio’ to ‘How Does My Portfolio Affect the World?’
ESG integration, sustainability, and impact investing…While there may be overlap in the meanings of these terms, they each represent a distinct approach to “doing well while doing good” in investor portfolios.
Analytics | Portfolio Risk Management
Qontigo Insight Q1 2021 Quarterly Risk Highlights: Internal Rotation While Markets Maintained a Steady Upward Path and Risks Diverged
In Q1, most markets continued to build on the gains achieved in 2020, while risk changes were mixed across regions.
Analytics | Portfolio Risk Management
To hedge or not to hedge: Using a stress test to answer the question
Foreign-exchange rates can be very volatile. Investors looking to bet on markets outside their own base currency must decide whether to embrace or mitigate the additional risk. In this paper, we propose a stress-testing framework that can help investors with the decision whether “to hedge or not to hedge”, given their assumptions on expected returns and cross-asset correlations.
Analytics | Factor Investing
Wait a second… Is that style or economic impact? And what does it mean for performance?
The recent release of the Axioma Macroeconomic Projection Equity Factor Risk Model highlights the risk and return impact of economic variables on equity strategies. Quantitatively driven portfolios are usually constructed (and invested in) without considering the potential impact of big moves in economic variables.
Analytics | Portfolio Construction
Anxious about rising yields and inflation? Here’s why (perhaps) you should be…
Rising interest rates are customarily accompanied by gains in stock prices and increasing consumer prices, which are usually seen as signs of a healthy, growing economy. There may come a point, however, when (expected) inflation becomes so high that the central bank may feel compelled to tighten monetary conditions.
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.