Qontigo ROOF Scores (Risk-On/Risk-OFF) were created to quantify investors’ risk appetite, using investor behavior as a guide to whether they are risk-tolerant (bullish), neutral or risk-averse (bearish). We produce two variants of the ROOF Scores per market — Style and Sector — using the Axioma fundamental multi-factor risk models. Additionally, both variants incorporate metrics on the recent change in overall market risk.
The ROOF Scores use a bottom-up methodology allowing us to quantify the implied sentiment of the average investor in the market as well as the active sentiment of any portfolio against its benchmark.
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Blogs
- 2022 ROOF portfolios performance review: Risk aversion and sentiment alignment get rewarded for the second year in a row
- Feeling bullish or bearish? Using Qontigo’s ROOF methodology to enhance the sentimental slants – and benchmark targeting – of your own portfolios
- ROOF Market Portfolios Show Their Value During Covid-19
- 2021: A case study for the value of harnessing investor sentiment
- Video: Asia Risk Congress 2021 – A conversation on trackable investor sentiment
- Q&A with Qontigo’s ROOF Scores creator: Olivier d’Assier
- Qontigo’s ROOF™ Scores Explained
- Sentiment as a Systematic Factor: Introducing Qontigo’s ROOF™ Market Portfolios