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News & Research
Most Recent News & Research
Analytics | Portfolio Risk Management
The improbable hedge: Protecting against rising rates with high yield bonds
High yield bonds have significantly outperformed higher rated debt in the first seven months of 2023, posting strong positive returns, despite a considerable rise in interest rates and concerns about the health of the banking system earlier this year.
Recent market developments and investing trends have prompted investors to reconsider their investment allocations. Factors assist investors in understanding the present market and informing their investment decisions. Melissa Brown, Managing Director of Applied Research, joins two experts to discuss factor investing in this video.
A new Qontigo article revisits the concept of tracking error, a metric that’s gaining even more attention amid the growth of sustainable portfolios. Hamish Seegopaul, Global Head for Index Product Innovation at Qontigo, addresses some key questions, including: How should the various degrees of tracking error be interpreted? Does the metric tell us much in terms of the future? And can we control this?
Analytics | Index | ESG & Sustainability
Green efficient frontiers: Minimizing the risk impact of exclusions in sustainable portfolios
A new whitepaper from Qontigo’s research team explores the benefits of constructing an exclusions portfolio with an optimizer, which helps limit active risk and frees up capital to allocate towards sustainability or performance objectives.
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.
Analytics | Index | Qontigo Whitepapers
Why have emerging markets become less risky than their developed counterparts?
Since late 2021, the STOXX Emerging Markets 1500 index has shown lower forecast and realized volatility than the STOXX Global 1800, a benchmark for developed economies. Using Axioma’s Factor Risk Models, a new whitepaper from Qontigo’s Applied Research team investigates the drivers of this anomaly.
Throughout 2022 and into 2023, the EM gauge has shown lower forecast and realized volatility than the global DM benchmark. A new whitepaper investigates the drivers of this anomaly.
As more investments are channeled into the UN’s Sustainable Development Goals (SDGs), a Qontigo whitepaper examines what the strategies may mean in terms of returns. The study uses a new, forward-looking analysis from the Sustainable Development Investments Asset Owner Platform (SDI AOP) on companies’ patents aligned with the SDGs, and finds that a high patent/SDG score can be an alpha-generating signal.
This paper investigates the effectiveness of a proxy for the new SDI Innovation Outlook score in predicting equity returns and enabling the construction of outperforming portfolios.
Analytics | Index | Factor Investing
Macroeconomic exposures of style indices: What you don’t know could hurt you
We look into the economic risks of employing factor-style strategies such as those in the STOXX Factor Indices, by screening them through Axioma’s Macroeconomic Projection model. The findings show that some styles have more economic exposure than others, and that macro variables can be correlated with industry, country and style factors, to different degrees.
Analytics | Portfolio Risk Management
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.
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.