Analytics

The best risk model is the one most closely aligned to your strategy. That’s why Qontigo offers you a range of Equity Factor Risk Models connected as a single linked risk model.

The best risk model is the one most closely aligned to your strategy. In some cases, using a single integrated regional model may help you achieve better results. We offer a range of Equity Factor Risk Models – US, Developed Markets ex-US, and Emerging Markets – connected as a Linked Model for more flexible and tailored risk forecasting and attribution.

Sovereign yields continue to fall spurred by safe-haven buying and central banks; Gilt curve pivots, as inflation worries battle with economic-growth concerns; Flight to quality reduces portfolio risk.

Spread between short-horizon statistical and fundamental forecasts widens in the US; Sector exposures to Momentum and Market Sensitivity have changed substantially this year; Market Sensitivity returns have reversed course.

Investor sentiment declined from recent highs in all major regions last week, with investors in Developed Europe curbing the recent surge in enthusiasm and rejoining others in the ambivalence of neutral zone.

As purveyors of risk models, we spend much of our time immersed in the arcana of causes and implications of volatility. But we are often asked why investors should care about volatility (aka risk) and, in particular, if higher volatility drives higher returns, why is low volatility viewed as a positive market characteristic? Below, we illustrate the connection between volatility and investors’ perceptions of potential capital losses, which may color their decision to invest.

Risk fell again across most indices in Q2 – US short horizon risk finally retraced its path back to where it stood before the 2020 crisis. Almost all components of risk contributed to the decline.

Yields drop amid concerns over Delta variant and economic growth; Bund curve flattens, as ECB vows to keep rates low; Portfolio risk falls, as strengthening dollar dampens local returns.

US investors show shift in style factor preferences; The volatility of Volatility remains volatile; Rising market on lower volume may signal a lack of conviction.

Global investor sentiment remains neutral and has stayed in a very tight range for two weeks now, seemingly lacking direction.

Small Caps big winners in first-half 2021; Russell 2000’s industry risk spikes after rebalancing; Risk spreads widen in Asia Pacific ex-Japan.

Stocks and bond rise together, boosted by moderate jobs increase; Euro drops amid diverging central-bank policies; Portfolio risk drops on lower FX and equity volatility.