News & Research

Historically Canadian equity managers have had difficulty accurately modeling their investment universe across the US and Canada. Compared to those of Canada, the US economy and stock market are much larger making it difficult to properly represent Canada in these types of investment strategies. North America regional risk models used to construct portfolios just aren’t able to capture the nuances of both markets and will be largely dominated by the US.

After a year of factors performing generally in line with expectations, more US model factors are now producing returns that fall into the top or bottom 15% of monthly values recorded since the model’s inception—a pattern we have not seen since November 2020.

With inflation at multi-decade highs, a tightening of monetary policy appears inevitable. Since November, a growing number of central banks — most prominently the Bank of England — have begun to raise rates, and the Federal Reserve is expected to follow suit in March.

Investor sentiment in 2021 can be summed-up in one word: “concerned”. Generally speaking, investors know there are only a handful of events that can spark a turning point in a market cycle — and in 2021 most expected tapering to be one of them.

At this year’s Risk.net Asia Risk Congress, Olivier d’Assier, Head of Applied Research for APAC and Rick Chau, Head of APAC Sales, discussed investor sentiment and how it should be factored into investors’ decision-making process.

Markets continued to decouple from one another in the fourth quarter, as COVID and its “beneficiaries” continued to drive the prices of some stocks higher, while economic and policy issues, such as inflation and central bank activity, loomed large for others. Expected volatility of the US market rose, and it is now one of the riskiest among the major markets we cover (only Japan is expected to be more volatile over the near term).

As 2021 draws to a close, the focus inevitably shifts to the year ahead. In terms of investment opportunities, we conclude that high yield bonds offer the most promising risk-return characteristics in 2022 for all examined scenarios.

What if investors had a tool to ensure that the portfolios they construct are sentimentally aligned with both the manager’s intent and the benchmarks? A tool that by definition enhances the portfolio-construction process by exposing—and enabling the fine tuning—of factor exposures impacting that sentimental alignment? Thanks to the efforts of Qontigo’s Applied Research team, this is now possible.

We sat down with Olivier d’Assier, Head of Applied Research for APAC, to discuss the development of Qontigo’s ROOF Scores and how these scores can be leveraged to drive enhanced portfolio performance.

Siepe shares its view on the partnership, the significance of the solution, and the key trends it is helping to address among its hedge fund, asset management and asset owner clients.

In this post we employed a “fact-finding” approach to examine the issue of how much exposure to a single SDG a portfolio can potentially achieve, and how that exposure is related to active risk. For this analysis we used the Axioma Worldwide Fundamental Equity Factor Risk Model – Medium-Horizon and the SDG contribution from the SDI AOP data as of July 1, 2021.

When the Axioma Global Multi-Asset Class Risk Model (AXGMM) is combined with the industry-leading Axioma Portfolio Optimizer, the ability to track, tilt and hedge multi-asset class portfolios is exceptional. But its prowess in handling fixed income portfolios on their own should not be overlooked.