News & Research

For both quantitative and fundamental managers, alpha calibration is a critical part of the optimal portfolio construction process – but are you doing it right?

No single risk model performs best in every circumstance—which is precisely why Qontigo provides clients with multiple views of risk that differ by horizon (short- and medium-horizon) and by factor structure (fundamental and statistical).

The quadratic utility function balances two conflicting objectives: more return and less risk. It is a way to pick one portfolio on the efficient frontier. Investors initially assumed that the active risk aversion parameter was the same as the total risk aversion parameter, but we show that they are different and ask the question – is this still relevant today?

It is a common misconception that equities generally react similarly to bonds (and any other assets with fixed future cash flows) when faced with rising interest rates.

Minimum Volatility strategies have historically delivered portfolios with significant excess returns and much lower volatility compared with broader benchmarks.