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News & Research
Most Recent News & Research
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.
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.
Factor investing is an investment strategy in which securities are chosen based on certain characteristics with the goal of achieving a given investment outcome.
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.
Analytics | Index / ETFs
ETF Insight: Factors under the microscope as value-growth dispersion levels hit widest since Tech bubble
Data from Qontigo showed that value and earnings yield have underperformed since the start of crisis, aside from a few days in May.
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.