Is Momentum’s sharp reversal an indication of changes in investor sentiment and a turning point for markets?
Boris Johnson’s ROOF™ Report Card
We use the Axioma ROOF Scores to quantify investors’ expectations of the new PM in the run-up to his nomination, and the report card they have given him since.
Axioma’s New Canada Model Adds Macroeconomic Sensitivities
We have added two other factors to the new model that reflect the unique composition of the Canadian economy: residual gold sensitivity and residual oil sensitivity.
Uh-Oh, Canada: Canadian Style Factors Show High Volatility
While Version 4 of our Canada model also showed some big differences between Canada and other markets, Canada stood out most in terms of factor volatility.
Do Yield Curve Inversions Impact Factor Performance?
A client recently asked an intriguing question: “Do style factors behave differently after a yield-curve inversion?” One might think they would, but that turned out not to be the case.
Succumbing to Sentiment - Axioma ROOF™ Scores Provide Insights into an Abrupt Market Turn
The US market fell 3% overnight and the implied volatility from the VIX shot up to 22%. We use ROOF™ Scores to attempt to see how this could have happened.