Equity Risk Monitor

US Small Cap

Qontigo Equity Risk Monitor

October 19, 2020

October 19, 2020
QONTIGO EQUITY RISK MONITOR | RUSSELL-2000 EDITION
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1. Global Volatility Hotspots chart

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.

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2. Global Correlation Hotspots chart

Average pairwise asset correlation for individual country Market Portfolios as measured by Axioma’s Worldwide short-horizon model.

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3. Global Market Returns (1 year) chart

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

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4. Global Market Returns (1 week) chart

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

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5. Global Market Risk and Return chart

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.

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6. Currency Risk and Return vs. USD chart

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

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7. RUSSELL-2000 Predicted Risk chart

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.

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8. Components of RUSSELL-2000 Risk chart

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

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9. Risk Change Decomposition – Factor Model chart

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

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10. Risk Change Decomposition – Dense Matrix chart

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.

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11. “Risk Watch” – RUSSELL-2000 chart

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.

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12. RUSSELL-2000 Rolling Average Asset Correlations chart

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

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13. Market-Based Style Factor Performance chart

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

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14. Fundamental Style Factor Performance chart

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

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15. USSC4 Style Factor Correlations chart

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

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16. Change in Style Correlations (1 Year) chart

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

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17. USSC4 Style Factor Returns by Period chart

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

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18. USSC4 Style Volatility Range (1 year) chart

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.

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19. RUSSELL-2000 Sector Style Exposures chart

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

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20. RUSSELL-2000 Sector Weights and % of Risk chart

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

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21. USSC4 Factor Volatility Range (1 year) chart

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.

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22. RUSSELL-2000 Diversification Ratio chart

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

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