Qontigo's ROOF Scores were created to quantify market sentiment — in other words, bullish or bearish? ROOF is an acronym for Risk-On/Risk-Off market conditions. ROOF Scores are calculated from the factor returns to eight style factors from Axioma’s fundamental factor risk models, plus two indicators of changing market volatility. Together, these 10 metrics are used to compute risk-tolerance and risk-aversion scores. To quantify the overall market sentiment, we simply take the difference between the two (risk-tolerance minus risk-aversion).
We will be using and refining the ROOF Score methodology in our market commentary, as well as including them in our quarterly insight webinars for discussions. Do reach out to your Qontigo representative if you would like more information on the ROOF Scores for your market (we calculate them on nine different markets daily).
February 17, 2020: Qontigo ROOFTM Score Highlights
For the second week in a row, investors have responded to the increased economic and earnings uncertainty from the continuing coronavirus outbreak by remaining in the neutral zone. Yet, you would not know this by looking at market returns which except for Japan (which overshot sentiment last week), were all positive. This is where this crisis differs from the SARS outbreak which pre-dated the decade-long QE programs and their resulting moral hazard. Today when a crisis hits, investors line-up around the block rolling-up their sleeves for an injection of easy credit by central banks instead of rationally adjusting their forecasts of return and de-risking their portfolios accordingly. Read More >
February 10, 2020: Qontigo ROOFTM Score Highlights
As the death toll from the coronavirus now exceeds that of the entire SARS epidemic of 2003, investor sentiment has ceased to be supportive of higher market levels and lies firmly in the neutral zone, awaiting direction. The exception is Japan which seems to be increasingly negative about the situation. ROOF ratios in that market are increasing their foray into unsupportive territory so expect some over-reaction from investors to even mildly negative news on the fundamentals mentioned above. Read More >
February 3, 2020: Qontigo ROOFTM Score Highlights
The ROOF Ratios which are computed over the last 20-days show continued decline in the support for higher market levels with both the UK and Japan turning unsupportive. As the daily ROOF Scores (right chart) indicate, this sentiment is set to continue to weaken as the daily scores ended last week in negative territory for all markets we track on the back on the coronavirus worries. Read More >
January 27, 2020: Qontigo ROOFTM Score Highlights
Investor sentiment remains supportive of higher market levels in all markets we track except for Japan and the UK where it remains unsupportive. Note that this support has been weakening in the US, China, Asia ex-Japan, and Japan since reaching a high in Q4 last year. Conversely, support in global emerging, global developed, Australia, and developed Europe has only recently reached their highs. Overall, investors remain more in the mood to reward than punish, but that feeling is weakening. Read more >
January 20, 2020: Qontigo ROOFTM Score Highlights
Stuck in neutral gear, investors are looking to each other for direction and hoping the incoming earnings season will provide some answers on where the economy, earnings, and the stock market are going from here. All nine markets we track ended last week in the neutral zone, within a whisker of each other, except for emerging markets who seemed a tad less risk-averse. Read more >