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News & Research
Most Recent News & Research

Analytics | Index | ESG & Sustainability
Mapping companies’ contributions to sustainability goals: Quantifying alignment with investment themes
The Sustainable Development Investments Asset Owner Platform (SDI AOP) helps investors assess companies’ contributions to sustainability themes using the UN Sustainable Development Goals. The asset owner-led effort provides a robust SDG-alignment framework and data, and is already used worldwide by investors for implementation and tracking of sustainability strategies, and engagement with multiple stakeholders.

Analytics | Portfolio Risk Management
2022 ROOF portfolios performance review: Risk aversion and sentiment alignment get rewarded for the second year in a row
The ROOF portfolios use the sector ROOF Scores to construct sentiment-tracking portfolios designed to capture the returns from the implementation of a bullish or bearish strategy. For the second year in a row, constructing portfolios aligned with the overall negative sentiment in the market generated significant outperformance relative to ‘holding’ the benchmark portfolio or adopting a contrarian bullish strategy.

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 | Index | Benchmarks
From pandemic profiteers to stagflation hostages: FAANGs stranglehold weighs on US market
The FAANGs — Facebook (now Meta), Amazon, Apple, Netflix and Google (i.e., Alphabet) — are having an annus horribilis. But they still have gains to show for the past three years, and, importantly for investors, the group’s influence on the US market has only decreased so much.

Analytics | Index | ESG & Sustainability
Video: Saumya Mehrotra speaks about Qontigo’s role in our clients’ journey to sustainable integration
At the Sustainable Investment Forum North America 2022, Saumya Mehrotra, Associate Principal, Sustainable Investment shares how the combination of our open ESG data and architecture, index platform and analytic capabilities enable our clients on their journey to full sustainability integration.

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.

Analytics | Index | ESG & Sustainability
Turning negative into a positive: SDI AOP platform expands dataset to include information on companies’ products and services that are inconsistent with achieving the UN Sustainable Development Goals (SDGs)
The Sustainable Development Investments Asset Owner Platform (SDI AOP) helps investors assess companies’ contributions to the UN’s Sustainable Development Goals. With the latest enhancement to its dataset, investors can also imbed information around products and services that have a negative impact.

Analytics | Portfolio Risk Management
Hoping for inflation to come down? Beware of what you wish for…
Our stress tests generated in Axioma Risk indicate that further rate hikes could mean even more bad news for stocks and bonds alike, even if, or rather because, they help bring down anticipated consumer-price growth.

Through both installed software and cloud-based SaaS solutions, Qontigo has a long history of developing and offering API-based solutions for software challenges.

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.

The ROOF portfolios use sector and style ROOF Scores to construct sentiment-tracking portfolios designed to capture the returns from the implementation of a bullish or bearish strategy. In a difficult first half of the year, aligning portfolios with the overall negative sentiment in the market generated significant outperformance relative to ‘holding’ the entire market or ignoring the average investor’s outlook.