News & Research

The Japanese yen and Swedish krona have fared worse than the pound, but their volatilities have retreated; UK Exchange Rate Sensitivity Returns have been highly negative; UK leads the pack in 12-month return, but only in local currency.

We caught up with Zubin Ramdarshan, Head of Equity & Index Product Design at Eurex, and Yang Wang, Head of Thematic Index R&D at Qontigo, to learn more about the first-ever listing of thematics derivatives at the Frankfurt-based exchange.

UK ‘mini’ budget boosts yields and flattens Gilt curve; Third ‘jumbo’ Fed hike propels dollar to fresh 20-year high; Portfolio risk soars as correlations intensify.

Neal Pawar, the former CTO of AQR and current COO of Qontigo, chats with Anthony Malakian about some of the major trends that are changing how asset managers interact with the vendor community, and how this shift mirrors the most significant evolutions in capital markets technology over the last decade.

The outcome of the STOXX Global ESG Leaders’ annual review is out. Qontigo’s broadest benchmark tracking the highest ESG-scoring companies now comprises 425 constituents: 280 from Europe, 79 from North America and 66 from Asia/Pacific.

Investor sentiment has been on a declining path since late August in all markets we track, except in global emerging markets where the decline started only recently.

“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.

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.

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.

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.

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.