News & Research

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.

Tax alpha is an often-overlooked source of improving passive and smart-beta index performance with direct indexing offering an approach to harvest tax alpha in practice. Once confined to high-net worth investors, direct indexing is open to a much lower threshold, allowing wealth managers to help their clients harvest losses and defer gains on individual securities in the portfolio while tracking a parent index and satisfying each client’s personal needs.

Direct indexing continues to gain momentum as an investment strategy for its potential to provide higher post-tax returns and portfolio customization. Direct indexing strategies with active tax management target higher post-tax portfolio returns by achieving pre-tax investment goals with lower tax costs. In this paper, we investigate the benefit of active tax management for direct indexing strategies tracking broad cap-weighted equity market indices.

This study explores the impact of the reclassification, from a risk-oriented perspective, on the STOXX® Global 1800 and STOXX® Europe 600 indices. We focus our analysis on the highest two tiers of the classification: Industry and Supersectors.

Factor investing has gained popularity in recent years and large asset flows have been recorded into so-called smart beta and risk premia themed products.

The Index Effect is the phenomenon where stocks that are added to an index experience positive excess returns in the days before being officially added.

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.

This paper examines the Index Effect and reports that it has weakened significantly since 2013. The Index Effect is the phenomenon where stocks added to an index experience positive excess returns in the days immediately before they are officially added to the index, while stocks that are removed from the index experience negative excess returns in the days immediately before they are officially removed.

Axioma and CS HOLT have collaborated to create a smart beta index — the Credit Suisse HOLT © Global Multi-Factor Portfolio — that united the stock selection prowess of CS HOLT with Axioma’s portfolio construction and risk model expertise. In this paper, we highlight three key principles that drove the process to create this portfolio.