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We look into the economic risks of employing factor-style strategies such as those in the STOXX Factor Indices, by screening them through Axioma’s Macroeconomic Projection model. The findings show that some styles have more economic exposure than others, and that macro variables can be correlated with industry, country and style factors, to different degrees.
Lukas Smart, Head of US iShares Sustainable and Factors Product Segments, and Arun Singhal, Qontigo’s Global Head of Index Product Management, discuss the recent update to BlackRock’s multi-factor offering and the outlook for factor investing.
Eli Levy, co-chief executive officer of More Investment House, talks to us about a new ETF tracking the STOXX Europe 600 Low Carbon Index.
If the theme of the first quarter was the COVID 19-induced shock, then the second quarter’s theme was disjointedness. For factor indices, this led to mixed results.
The global financial crisis significantly changed the industry composition of European equities, enhancing sector diversification relative to the market’s own history and to other major regions.
STOXX has launched an innovative index that allows a systematic investment in the best-performing mutual funds across various asset classes, bringing in a strictly rules-based alternative to active fund selection.
Minimum variance strategies have gained significant traction especially since the global financial crisis. They aim at reducing or minimizing variance, i.e. the square of volatility as measured by standard deviation, or, in this case, price fluctuations of portfolio prices around their mean.
A recent report by Research Affiliates1 states that while momentum is one of the most compelling risk premia factors, there is a significant performance gap between theoretical and live results, with the latter proving considerably weaker.
The countdown to Britain’s yet-unmanaged departure from the European Union is causing anxiety across the country – with the stock market appearing as one noticeable exception.
ETF flows can provide key information about the revealed preferences of investors. A STOXX paper analyzes fund purchases to determine the long-term choices across style, industry and regional exposures.
STOXX’s European benchmarks offer transparent and liquid exposure to the region, and are at the center of a wide ecosystem of derived investment strategies and products. Those characteristics have made the indices the top choice for issuers of investable products.
The global benchmark jumped 3.2% last month for a quarterly gain of 9%. All regional indices rose as reports suggested the global economy has avoided a hard landing. Momentum is the best-performing factor for a second straight month.
