Portfolio Construction

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.  

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.

Soaring energy costs boost Gilt yields; Forceful Fed propels dollar to 20-year high; Portfolio risk surges, as stocks, bonds, and currencies tumble together.

Melissa Brown, Global Head of Applied Research joined Bloomberg Markets to discuss how factors are driving the further volatility in the equity markets, the significance of international and emerging markets equities for U.S. investors, as well as expectations for Fed policy towards the end of the year.

Olivier d’Assier, Head of APAC Applied Research at Qontigo, discusses his outlook for markets and navigating risks. He speaks with Shery Ahn and Haidi Stroud-Watts on “Daybreak Asia”.

Qontigo has partnered with CEPRES, the leader in private market investment technology and data, to develop a suite of private market factor risk models for unique insights into private capital fund risk in multi-asset class portfolios.

As part of the recently announced partnership between CEPRES and Qontigo, we are developing a suite of factor risk models that provide broad coverage of the private market space in Axioma Risk.

Most markets fell and risk increased in Q2 and YTD. US (Large and Small Cap) had the most negative returns, but Australia and Canada experienced the largest increases in predicted volatility (although are still at the low end of the risk spectrum).

Melissa Brown, Qontigo’s Global Head of Applied Research, spoke with Zahra Tayeb of Insider about how aggressive interest rate hikes and rising yields on US Treasuries are changing the market’s bond dynamic, increasing investors’ appetite for fixed income.

The ROOF methodology can capture the ‘sentiment’ of a portfolio relative to its benchmark. We run ROOF scores to determine the risk appetite of investors holding four portfolios aligned with respective Sustainable Development Goals.

Direct Indexing has exploded in popularity and more financial advisors are incorporating it into client portfolios than ever before. Increased adoption, advances in technology and appreciation for the tax benefits of Direct Indexing will likely continue to accelerate its rapid growth. How will this impact the advisors’ perception and use of ETFs going forward? Qontigo’s Rob Reina, and other expert panelists addressed the pros and cons of each when constructing portfolios for your clients and offer in-depth analysis on their most appropriate applications.

Term spreads have risen in multiple regions around the globe, as long-term sovereign yields soared amid rising (expected and actual) inflation but central banks took longer to raise short-term interest rates. The impact of this on international real estate has mostly been positive over the past two-and-a-half years.