Whitepaper - July 2020

Qontigo InsightTM Quarterly Risk Review Q2 2020: The Storm After the Storm? Applied Research

Equity markets posted one of the best quarters in more than a decade, but most were not able to cross into black territory for the year. Volatility—of benchmarks, sectors, risk model factors, etc.—came down from the year-to-date peaks, though remained high. Style factors saw an unusual performance, increased volatility, and large changes in factor correlations, which likely had a significant impact on active risk.

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