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The devil is in the details when it comes to performance attribution. Here we explain the differences between risk-based vs. Brinson attribution and how using equity risk models can help you understand your drivers of portfolio risk and return.
We talk to Abhishek Gupta, FlexShares’ Senior Quantitative Strategist, about the company’s new ETFs covering low volatility and high dividend strategies in emerging markets. The funds, which track STOXX indices, include Northern Trust Asset Management’s proprietary quality and ESG screens, as well as climate filters, aimed at helping improve risk-adjusted returns.
By selecting high-dividend stocks within universes screened for responsible-investing principles, the new suite broadens the possibilities for investors and showcases the versatility of index-based strategies.
Derivatives tied to the Eurozone index and its dividends have enabled traders to hedge their exposure to corporate payouts during this year’s uncertain times.
European dividends may halve in value this year amid the COVID-19 pandemic, pricing in EURO STOXX 50 Index dividend futures shows.
Last year we introduced the Qontigo ROOF Scores as a market sentiment indicator. The scores map our fundamental risk model’s style factors to either a risk-tolerant or risk-averse strategy.
The STOXX Global 1800 index added 7.1% in dollars last month, matching its performance in October. The benchmark has still lost 14.5% in 2022, poised for its worst year since 2008.
Qontigo has been busy in the past two years enhancing the DAX rulebook, to bolster the quality of constituent companies, bring selection criteria in line with international standards and improve representativeness of the underlying markets. Serkan Batir, Qontigo’s Managing Director for Indices, says the overhaul helps ensure the benchmark is fit for purpose in an evolving financial landscape.
The STOXX Global 1800 index rose 7.1% in dollars last month, after falling to a two-year low. While most economists rightly forecast the Federal Reserve’s fourth consecutive hike of 75 basis points on Nov. 2, speculation grew during October that the central bank could indicate it would slow the pace of monetary tightening.
Market returns were negative in Q3, yet volatility fell from the end of Q2. Risk fell when markets rallied, but remained steady as they turned down. We found a number of drivers of the lower risk, which is unexpected. Some style indices’ active risk fell as well. Volatility turned back up in late September,
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