Whitepaper - July 2019

Qontigo InsightTM Quarterly Risk Review Q2 2019: A Strong Market … but on Thinning Ice?

While equity markets were strong overall in Q2 – and risk levels did not stand out – some trends were troubling and investors should be cognizant of them. This report contains a detailed analysis of what happened to top-line risk and its drivers across the globe in the quarter, as well as a detailed analysis of style factor performance. We take particular note of the unusually poor performance of a number of style factors on which many investors bet, continuing the trend of the last few quarters. It has been our experience, albeit difficult to prove statistically, that unusually anomalous factor performance may be a harbinger of a change in the market’s direction.

Authors

Melissa Brown

Managing Director of Applied Research

Olivier d'Assier

Managing Director, Applied Research - APAC

Christoph Schon, CFA, CIPM

Executive Director, Applied Research

Diana R. Baechle, PhD

Director, Applied Research

Natan Borshansky

Manager, Applied Research