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In this note, we present updated results for the STOXX USA 500 version of our ROOF Market Portfolios. These portfolios include a Risk-On and a Risk-Off variant built directly from the ROOF Scores and constituents of the STOXX USA 500 benchmark portfolio, and rebalanced monthly (at month-end) using the as-of-then sector ROOF scores and exposures (i.e., no look-ahead bias). We will focus on the last 12 months, as this period had several turnarounds in sentiment.
Sector ROOF scores in the US show that sentiment has been neutral for two weeks, after an unusually long bullish period. However, investors may return to their bullish outlook driven by fiscal stimulus and continued (seemingly indefinite) Fed action.
Over the past two years, Qontigo’s Applied Research team has released two variants of its sentiment indicator called the ROOFTM Scores.
The Sector ROOF, introduced in 2019, defines a risk-on/risk-off “sector personality”, and then looks at sector performance for an additional perspective on investor sentiment.
In a previous post (here) we analyzed the risk of US High Yield and Investment Grade portfolios using the Axioma Factor-based Fixed Income Risk Model (FFIM), which is calibrated using cross-sectional techniques and incorporates style factors.
Between February 19 and March 23, 2020, the STOXX USA 900 index plunged some 32% in just 23 trading days.
A decade-long bull market defied the odds and grew stronger in 2019, as investors took on risk despite growing geopolitical headwinds.
Despite a steady stream of bad economic news, European stock markets just posted their best half-year performance in almost 10 years.
Bank of America Merrill Lynch is among brokers saying the euro will likely recoup its losses against the dollar in 2019,1 as the Federal Reserve slows down the pace of tightening and the European Central Bank (ECB) gradually removes monetary support.
Equity investors hoping to recoup last year’s losses may be in for a long wait, if annual forecasts from strategists – already jarred by December’s market sell-off – are anything to go by.
After starting the year on a positive note, equity markets were rattled by economic and political concerns as 2018 unfolded, with all but one of the 46 broad national indices tracked by STOXX now set to post an annual loss.
When it comes to evaluating the success of equity portfolios or constructing a traditional passive investment strategy, the go-to instrument has usually been the market capitalization-weighted index.
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