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September 21, 2022
Eurex Webinar: Uncovering Trading Opportunities in European Markets
Long-term inflation expectations have finally started to revert to their long-term averages, but stock and bond prices markets have still taken another turn for the worse, as traders evaluate the long-term economic costs of tighter monetary conditions. One of the biggest beneficiaries has so far been the US dollar, supported by the widening interest rate differential against its major rivals and by growing economic-growth concerns in Europe.
Join Christoph Schon in this webinar to hear how all this affects the risk of global multi-asset class portfolios.
Tuesday, September 20
Melissa Brown will be presenting at the WTW Climate Quantified™ at NY Climate Week.
In this session Christoph Schon, Qontigo’s Senior Principal, argues that investors should consider a more targeted approach, focusing on themes like digital security, automation & robotics, or smart city infrastructure.
September 22, 2022
The evolution of technology and the increased use of block chain is changing the way data is collected and stored. The influx in quality of standardized data is enabling advisors to deliver a wider array of more accurate ESG investment models to help investors better understand the impact of their investment decisions. Impact of more data and push-button technology enable investors to cross compare their choices in real time and update allocations within minutes.
June 16, 2022
Ian Lumb will discuss in a panel about: The intersection of cloud and scalability – Demonstrating a tangible ROI for your cloud journey.
News & research
Stocks Continue Falling After Fed Hikes Rates Again
“That is a sign that — it’s really about the anticipated impact of the monetary tightening of long-term growth and inflation expectations,” said Christoph Schon, senior principal of applied research at Qontigo.
Multi-Asset Class Risk Monitor Highlights | Week Ended September 16, 2022
Inverted Treasury curve reflects worries about long-term monetary-policy costs; UK inflation eases…and so does the pound; Stock-market sell-off heightens portfolio risk.
Equity Risk Monitor Highlights | Week Ended September 16, 2022
Worst Day in 2 years leads to: Lower Volatility?(!); Sector and style exposures explain the discrepancy; The short-horizon model risk changes behave more as expected.
Higher interest rates will not save the pound—nor will a weaker currency prop up the UK stock market
Conventional wisdom has it that higher interest rates make a currency more attractive to foreign investors, whereas a weaker exchange rate can be good news for export-oriented economies. Neither is true for the United Kingdom right now.
How to construct high-yield index tracking portfolios
In a new research paper, we showcase how a portfolio manager can replicate fixed income indices using the Axioma Portfolio Optimizer and the new Axioma Credit Factor Model to create optimal US high- yield portfolios. In the workflow, we replicate a US high yield index with liquid bonds and a set of derivatives and test the solution from a risk perspective. The end goal is to create a set of portfolios that is more cost efficient, as (or more) liquid and as diversified as the index.
Portfolio construction in practice: Tracking a high-yield index
In this research paper, we showcase how a portfolio manager can replicate fixed income indices using the Axioma Portfolio Optimizer and the Axioma Credit Spread Factor Risk Model. We replicate a US high yield index with liquid bonds and a set of derivatives and test the solution from a risk perspective. The end goal is to create a set of portfolios that is more cost efficient, as (or more) liquid and as diversified as the index.
Equity Risk Monitor Highlights | Week Ended September 9, 2022
Most markets remain below the red line so far in 2022; Defensive sectors prevail; Global trading volume nears 3-year low.
Multi-Asset Class Risk Monitor Highlights | Week Ended September 9, 2022
UK rescue package inflates Gilt yields; Euro recovers after ‘jumbo’ ECB rate hike; Weaker cross-asset correlation reduces portfolio risk.
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