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Following the failure of Silicon Valley Bank, returns for many style factors have been extremely large and in the opposite direction to what could be expected given their long-term history. Such performances may be of particular interest as style factors tend to go haywire at market inflection points and often in advance of a crisis.
As part of the recently announced partnership between CEPRES and Qontigo, we are developing a suite of factor risk models that provide broad coverage of the private market space in Axioma Risk.
As part of a partnership between CEPRES and Qontigo, a new suite of factor risk models that provide broad coverage of the private asset fund space is now available in Axioma Risk, Qontigo’s enterprise risk management platform.
Four new indices have been added to the STOXX Equity Factor suite, which offers diversified multifactor exposure to five equity style risk premia sources. Powered by STOXX’s indexing capabilities and Axioma’s risk models and portfolio optimizer, the indices deliver balanced and well-researched factor exposures, seeking long-term outperformance.
In the current environment of rising inflation, interest rates, and geopolitical uncertainty iShares relaunched two ETFs in its factor suite (LRGF and INTF), using a multifactor strategy from index provider Qontigo.
We look into the economic risks of employing factor-style strategies such as those in the STOXX Factor Indices, by screening them through Axioma’s Macroeconomic Projection model. The findings show that some styles have more economic exposure than others, and that macro variables can be correlated with industry, country and style factors, to different degrees.
A new white paper from Qontigo analyzes the components of a multi-factor alpha forecast in a universe of US stocks. The alpha has enhanced market returns over the last 20 years, with 2021 showing the best annual results.
ESG and climate metrics can be used as signals to generate alpha either on a stand-alone basis or to strengthen traditional style factors, BlackRock’s Andrew Ang explained during the Qontigo Investment Intelligence Summit.
The STOXX Equity Factor Indices offer diversified exposure to five equity risk premia factors – Quality, Value, Momentum, Low Size and Low Volatility — through an enhanced multifactor approach designed for core portfolio allocation. Powered by STOXX’s indexing capabilities and Axioma’s risk models and portfolio optimizer, the indices deliver balanced, well-researched style factor exposures seeking long-term outperformance.
Many investors want to incorporate Sustainable Development Goals in their portfolios. This blog shows that it is possible to create a portfolio that significantly improves the exposure to SDGs without taking on too much active risk.
This paper focuses on creating SDG portfolios that maximize exposure to one, two or all SDGs. The study shows that it is quite possible to create a portfolio that significantly improves the exposure to SDGs without taking on too much active risk. An optimizer can help manage that active risk.
Most markets fell in Q1, although commodity-dependent indices such as Canada did eke out small gains. Risk was up across the board and is higher than it was a year ago in most indices. US SH risk is in the 87th percentile relative to history.
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