News & Research

Our analysis shows how an optimized sustainability index can decrease active risk and free up more of the risk budget to be allocated to the desired sustainability metric(s), making the resulting portfolio a suitable replacement for a traditional benchmark.

This article provides a high-level refresher of what tracking error means, and how we can embed it directly into portfolio construction.

Our analysis shows how an optimized sustainability index can decrease active risk and free up more of the risk budget to be allocated to the desired sustainability metric(s), making the resulting portfolio a suitable replacement for a traditional benchmark.

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.

In this paper, our goal is to show how sustainability ETF exposures to a number of sustainability-related factors may vary. It is eminently clear to us that investors with a view about key sustainability features cannot rely on the fund name, but instead need to do more digging into whether their fund meets the required criteria.

This paper focuses on creating SDG portfolios that maximize exposure to one, two or all SDGs. The study shows that it is quite possible to create a portfolio that significantly improves the exposure to SDGs without taking on too much active risk. An optimizer can help manage that active risk.

This Special Report discusses the increasing importance of sustainability for investors. It also outlines how investors are able to the measure the carbon footprint of their portfolios, and ensure they meet their climate goals.

There is no denying the impact of climate change — and associated regulatory realities — on the business of investment management. For portfolio managers, it is essential to understand how to successfully adapt and prepare for what some call the “mother of all correlated risks”. Here we expose — in three parts — what portfolio managers need to know when switching to a fully Paris Aligned Benchmark (PAB) portfolio from a current market-cap weighted (CWB) portfolio.

This paper illustrates the processes that Qontigo followed in constructing the STOXX Paris-Aligned Benchmark Indices and the additional steps taken to reinforce the objectives of the EU PABs.

Environmental, social and governance (ESG) data availability, marketing presence and regulation continue to increase in the investment community. Recent articles have reported several remarkable instances of score divergence between data vendors. However, those articles did not attempt to determine whether the disparities represented isolated outliers or were a common occurrence in ESG data.

We evaluate the investment performance of ESG, paying particular attention to recent performance and highlighting the difference between ESG scores that overlap with traditional risk model factors and those that don’t. Our analysis indicates that, in general, increasing exposure to ESG rarely underperforms the market, and often outperforms the market, especially during the last few years.