Risk-On/Risk-Off and the Schrödinger Quadrant
The stock market’s version of the Ellsberg paradox states that investors exhibit ambiguity aversion, in the sense that they prefer risks with known probability measures over risks with unknown ones. Since the probability measure governing future stock market prices is clearly unknown, we can conclude that market volatility is a reflection of investors’ aversion to both risk and ambiguity ...
A Tough First Quarter for Systematic Managers?
According to the returns for Axioma’s factors, the first quarter of 2019 was probably a tough one for many systematic, factor-based investors, especially those investing in the US. Across most regions we track closely returns were negative for Medium-Term Momentum, Value, Low Volatility and Low Market Sensitivity (beta). The quarter’s results were more mixed regionally for Profitability, Earnings ...
Who Wins and Who Loses, if Gold Keeps Rising?
If gold continues to rise, as equities fall in a “risk-off” environment, who are the likely winners and losers?
The impact of Fed policy on portfolio risk and diversification
As the latest US rate-hiking cycle enters its final phase, market participants are paying ever-closer attention to comments and actions of Federal Reserve Bank officials.