The recent news of effective COVID-19 vaccines propelled global stock indices to record highs. With that news came a big “sector rotation”, from industries that had so far benefitted from the crisis (Health Care, Information Technology) back into those that had suffered most (Energy, Financials). We used Axioma’s new Factor-based Fixed Income Risk Model (FFIRM) […]
Our annual event will be held virtually this year and focus on the ever-growing topic of sustainable investment. A line-up of experts will discuss the regulatory drivers and practical applications of integrating ESG considerations in portfolios.
The US market soared in November, producing one of the highest monthly returns since at least 1982. With regard to factor returns, the month started out fairly slowly. But things changed on November 9, when it started to look like the pandemic could end someday. We wrote about the impact the news from Pfizer on […]
Many risk model users may prefer the simplicity of using a single model to evaluate the risks in their portfolios. A very broad model, however, may be misaligned with the portfolios, and therefore may miss some of the important nuances that can help risk estimates be more accurate, attribution more intuitive and most importantly drive […]
Ahead of the Qontigo Summit, Olivier d’Assier analyzes the cost of adapting a portfolio to meet global warming targets using a STOXX Paris-Aligned Benchmark index. The results show that an early but gradual transition can dramatically reduce the market impact and transaction costs.