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News & Research
Most Recent News & Research
Focus on US Small Cap: Small caps beat large in February, with Health Care driving the difference; Small cap style factor returns larger in magnitude and bigger than expected; Small cap correlations increased, driving risk higher; the opposite happened in large cap.
Investor sentiment changed only marginally last week. Asia ex-Japan and Global Emerging markets decoupled from China, becoming less bearish. However, Chinese investors remain bearish ahead of the National People’s Congress this week.
As it turns 13, the STOXX Thematics index suite continues to grow, offering investors exposure to structural megratrends changing our modern world. We look at the historical performance of the indices and zoom in on 2023 – a year dominated by technology themes.
Results of the first regular quarterly review 2024 of benchmark indices will be effective March 18, 2024.
China Risk Climbing Higher Still; China Affecting EM Risk; US Risk Spreads Widen.
Analytics | Portfolio Risk Management
Multi-Asset Class Risk Monitor Highlights | Week Ended February 23, 2024
Gilt yields tumble as BoE gets “comfortable” with rate cuts; Strong tech earnings boost European stocks and high yield bonds; Share prices decouple from FX and interest rates, reducing portfolio risk.
Investor sentiment was little changed last week ahead of key inflation data this week. Globally (except in China), how central bankers ‘feel’ about inflation continues to rent vast amounts of space in investors’ head.
The sector composition of the Eurozone blue-chip benchmark looks very different from its inception 26 years ago. Most recently, two technology stocks – ASML and SAP – have had the biggest influence on the index’s direction, and may be re-positioning it in the eyes of investors.
Index | Listed Derivatives
Fifth anniversary of STOXX ESG derivatives sees broadening innovation, adoption
Five years since the launch of futures on the STOXX Europe 600 ESG-X index, the Eurex-STOXX partnership in ESG derivatives now includes nearly a dozen listed products. Volumes continue to pick up, testimony to increasing investor interest and evolving regulation in the region.
Index | Qontigo Whitepapers
WORKING PAPER: Understanding Investor Preferences through Passive Investment Flows
In this paper, we use the transparency afforded by ETFs to analyze investor flows, but also look through to the underlying holdings, to understand the time-varying preferences of passive investors. We have found that year on year, there is a great deal of variability in style, industry and regional exposures. However, these exposure preferences tend to be neutral over longer time frames. This is in contrast to a consistent preference for performance, reflected by flows going towards ETFs with strong in-year returns.
US market volatility keeps falling despite market gyrations; US Small Cap’s specific risk soars, led by SMCI; In a sharp reversal, predicted risk climbs in the UK.
Analytics | Portfolio Risk Management
Multi-Asset Class Risk Monitor Highlights | Week Ended February 16, 2024
Traders shave off another Fed rate cut amid soaring consumer prices; UK recession weighs on Gilt yields and the pound; Portfolio risk steadies as weaker FX and rate fluctuations offset higher equity volatility.