News & Research

Qontigo’s Tax-Managed Investing solution enables asset managers to improve post-tax returns through tax savings. Two new whitepapers investigate the benefit of active tax management for investment strategies, focusing on a broad cap-weighted equity market index and on factor-based strategies.

The recent release of the Axioma Macroeconomic Projection Equity Factor Risk Model highlights the risk and return impact of economic variables on equity strategies. Quantitatively driven portfolios are usually constructed (and invested in) without considering the potential impact of big moves in economic variables.

Rising interest rates are customarily accompanied by gains in stock prices and increasing consumer prices, which are usually seen as signs of a healthy, growing economy. There may come a point, however, when (expected) inflation becomes so high that the central bank may feel compelled to tighten monetary conditions.

The new Axioma Worldwide Macroeconomic Projection Equity Factor Risk Model offers a unique way to identify a portfolio’s exposures to macroeconomic factors, such as interest rates and inflation, while maintaining the structure and benefits of a more traditional fundamental equity factor risk model.

Investors are getting jittery over inflation, thanks to continued fiscal stimulus, combined with the effects of prolonged monetary easing. This, in turn, has pushed long-term government rates to 12-month highs, while share prices continue to climb.

This is the third installment of a series of posts highlighting the risk-measurement benefits of a model that links separate regional models, versus a single global model.

The recent euphoric trading of GameStop and other high-flying stocks—prompted by retail traders trying to squeeze institutional short sellers out of their positions—had a substantial impact on specific risk, particularly on less diversified portfolios, but even large benchmarks such as the Russell 2000 have been affected. The frenzy produced large dislocations in equity-portfolio active risk. […]

ESG integration, sustainability, and impact investing…While there may be overlap in the meanings of these terms, they each represent a distinct approach to “doing well while doing good” in investor portfolios.

In the wake of failed last-minute talks between Britain and the European Union, both sides have now warned that a ‘no-deal’ Brexit is likely, despite a mutual commitment to continue negotiations. The pound is expected to take the brunt of any market reaction, but the impact on stock markets is less clear-cut. In this blog […]

Sustainability has moved from a tangential consideration to a crucial criterion in portfolio construction. A line-up of experts told this year’s Qontigo Investment Intelligence Summit how this evolution is re-shaping the entire investment landscape.

The recent Industry Classification Benchmark (ICB) revamp has introduced slight risk-profile adjustments at a portfolio’s sector level. A new Qontigo study unveils the extent of the changes.

November 9 was a profoundly bad day for Momentum. In most regions we cover closely, Momentum’s return for the day was between seven and 10 standard deviations below expectations[1], and the return was the worst of any day going back to 1999, according to Qontigo’s medium-horizon models. The year-to-date return for Momentum in the US went from positive to negative overnight, but remained positive in other regions, albeit far lower.