Conventional wisdom has it that higher interest rates make a currency more attractive to foreign investors, whereas a weaker exchange rate can be good news for export-oriented economies. Neither is true for the United Kingdom right now.
Our stress tests generated in Axioma Risk indicate that further rate hikes could mean even more bad news for stocks and bonds alike, even if, or rather because, they help bring down anticipated consumer-price growth.
Most markets fell and risk increased in Q2 and YTD. US (Large and Small Cap) had the most negative returns, but Australia and Canada experienced the largest increases in predicted volatility (although are still at the low end of the risk spectrum).
Qontigo Insight Quarterly
Applied Research Team
The ROOF portfolios use sector and style ROOF Scores to construct sentiment-tracking portfolios designed to capture the returns from the implementation of a bullish or bearish strategy. In a difficult first half of the year, aligning portfolios with the overall negative sentiment in the market generated significant outperformance relative to ‘holding’ the entire market or ignoring the average investor’s outlook.
The recent launch of the STOXX U.S. Equity Factor Index, which underlies the iShares U.S. Equity Factor ETF (LRGF), highlights the real-world performance benefits of a factor-based approach that seeks to manage risk relative to a capitalization-weighted benchmark.
Olivier d’Assier, Qontigo Head of APAC Applied Research, speaks in “Bloomberg Daybreak Asia” with Shery Ahn and Haidi Stroud-Watts. He says the message from central banks to investors is clear: “Help is definitely not coming”. He discusses how this will play out in the markets and other risks to sentiment.
The devil is in the details when it comes to performance attribution. Here we explain the differences between risk-based vs. Brinson attribution and how using equity risk models can help you understand your drivers of portfolio risk and return.
Kevin Dunbar, CFA and Melissa R. Brown, CFA
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.
Several factors have been causing developed markets to be riskier than emerging markets for investors. Diana Baechle, Principal of applied research shared her perspective with Reuters on why EMs are performing better than DMs.