Europe

Predicted volatility for individual country Market Portfolios as measured by Axioma’s Worldwide short-horizon model. Market portfolios comprise all stocks in a country with sufficient liquidity. Arrows: Country predicted risk changed by more than one percentage point over the last 5 days. Black arrow indicates increase, green arrow indicates decrease.

Average pairwise asset correlation for all companies in individual country Market Portfolios as measured by Axioma’s Worldwide short-horizon model. Arrows: Average correlation changed by 0.02 or more over the last five days. Black arrow indicates increase, green arrow indicates decrease.

Total return in local currency over the last 12 months for each individual Market Portfolio.

Total return in local currency over the last week for each individual Market Portfolio.

Total return over the last 12 months (in USD) vs current market volatilty as estimated by Axioma’s Worldwide short-horizon model for each country Market Portfolio. Circle size represents relative market cap.

Currency volatility and 12-month return vs. USD. Dotted lines show range in return and volatility over the period.

Forecast risk for the index as measured by the four risk model model variants.
MH=Fundamental Medium-Horizon, SH=Fundamental Short-Horizon, -S= Statistical Model. Right side shows cumulative index return.

Major factor block components of index risk. Does not include covariances between the blocks.

Breakdown of the drivers of change in the index’s short-horizon fundamental risk over the time period indicated, based on the factor model.

Breakdown of the drivers of change in the index’s short-horizon fundamental risk over the time period indicated, assuming a full asset-asset covariance matrix.
You can find more details for charts 9 and 10 in the Quarterly Insight Report, or contact your Qontigo representative.

Change in index vs. total return over indicated period. Risk is measured by the short-horizon fundamental model at the beginning of the period.
A one standard deviation move based on the risk forecast at the time is indicated by the dot.

Average pairwise correlation among index stocks over trailing 20- and 60-day windows. Right side shows cumulative index return.

Cumulative returns of the medium-horizon model market-based style factors over the past 12 months.

Cumulative returns of the medium-horizon fundamental model style factors over the past 12 months.

Risk-model correlations between the style factors in the medium-horizon fundamental model as of the report date.

The change in correlations over the past year for style factors in the medium-horizon fundamental model.

Returns of the medium-horizon fundamental model style factors over the last week, month, 3 months, 6 months and 12 months.

The range in volatility over the past year for style factors in the risk model medium-horizon fundamental model. Current volatility is indicated by the yellow dot.

The weighted average exposure to risk model style factors for the 11 GICS sectors in the index.

The weight and contribution to risk of the 11 GICS sectors in the index. Risk is measured using the medium-horizon fundamental model.

The range in volatility over the past year for industry factors in the risk model medium-horizon fundamental model. Current volatility is indicated by the yellow dot.

Diversification is measured as the ratio of the weighted average asset variance to total index variance as measured by the medium-horizon model.

Cross-sectional standard deviation of five-day returns across all index stocks.

Percent of stocks in the index that have beaten the index over the past five days.

Cumulative returns in local currency over the past year for selected indices.

Cumulative returns over the past year for spot Brent crude, spot gold and VIX. VIX is a registered trademark of the Chicago Board Options Exchange.

Daily sum of the 20-day average USD trading value for assets in the index.

Current and 12-month average 20-day average USD daily trading value for assets in the index, sector-by-sector.

Cumulative return over the last year for each sector in the index.

Current short-horizon fundamental risk level vs. various historical periods for a capitalization-weighted portfolio comprising stocks in each sector.

Sector returns for expanding periods.

Contribution of each sector to total benchmark return.