Portfolio Construction

The mood of investors in Q3 2021 was decidedly undecided—and increasingly skeptical. Questions about the strength of the economic recovery, persistent inflationary pressures, the world’s ability to overcome the pandemic, and the timing of any tapering efforts by major central banks kept sentiment on the negative side of the neutral zone.

In Q3, risk rose slightly in the US, somewhat more in Emerging Markets, Japan and Australia, and substantially in China and Asia ex-Japan.

We devised a series of co-branded indices that offer investors a spectrum of strategy tools and specific optionality, and gave our client flexibility, full support in index management, and the objectivity of a third-party index provider

The iSTOXX APG World Responsible Investment Indices were designed to ‘layer in’ various sustainability filters in order to measure the effect on risk and returns of each individual ESG criteria on a developed-markets global equities portfolio. Hamish Seegopaul and Yurong Gu explain how the new indices came about and discuss the value of the collaboration with the Netherlands’ APG and with BlackRock.

Ronald van Dijk, Deputy CIO at APG Asset Management, discusses how the recently launched iSTOXX APG World Responsible Investment Indices help pension funds and other investors incorporate different layers of sustainability ambitions on portfolios in an innovative, flexible and transparent way.

SimCorp, an independent provider of SaaS investment management solutions and trusted partner to the global buy side, today announces a new partnership with Qontigo, a leading provider of analytics and indices, and part of the Deutsche Börse Group.

Qontigo announced today the appointment of Mohan Verma as Senior Managing Director, Global Head of Business Development.

We work closely with Omega Point – a provider of advanced portfolio intelligence solutions – to help fundamental managers make winning investment decisions

Qontigo has been named as the category winner for both factor modeling and portfolio optimization by Chartis Research in its inaugural STORM50 (Statistical Techniques, Optimization frameworks and Risk Models) Report.

Using our portfolio construction tools combined with Redpoint’s forecasted dividend yield, alpha signal and local market expertise, we developed an optimized income methodology.

Risk fell again across most indices in Q2 – US short horizon risk finally retraced its path back to where it stood before the 2020 crisis. Almost all components of risk contributed to the decline.

Over time, market-moving events generate either more need or want for portfolio rebalancing. Using each metric’s contribution to the overall market ROOF scores, we can track the motivational nature of the aggregate market move each day (i.e., are they driven by want or need?).