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News & Research
Most Recent News & Research

Analytics | Qontigo Whitepapers
Understanding private asset risk through the lens of Axioma Equity Factor Risk Models
As part of a partnership between CEPRES and Qontigo, a new suite of factor risk models that provide broad coverage of the private asset fund space is now available in Axioma Risk, Qontigo’s enterprise risk management platform.

In this research paper, we showcase how a portfolio manager can replicate fixed income indices using the Axioma Portfolio Optimizer and the Axioma Credit Spread Factor Risk Model. 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.

Index | ESG & Sustainability
The International Real Estate Index — A hedge against expected inflation
Real estate has long had the reputation of being at least a partial hedge against inflation, since both rental income and property values typically respond positively to inflationary pressures. The iSTOXX Developed and Emerging Markets ex USA PK VN Index has lived up to this reputation historically and is continuing to do so in the current inflationary environment.

Index | ESG & Sustainability
Holding the world in your portfolio and considering climate transition risks
The STOXX WTW Climate Transition Indices are a new approach to managing climate risk that offer investors a systematic and transparent way to incorporate climate transition risk into their investment decisions.

Analytics | Index | ESG & Sustainability
Want to incorporate SDG exposures into your portfolios? There’s no such thing as a (risk) free lunch, but here’s a way to do it…
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.

Index | Thematic Investing
Thematic investing in the current climate – A more focused approach to sustainable and future-proof investing
The Russian invasion of Ukraine spooked equity investors around the world, but losses were not distributed equally across all sectors, with some industries even exhibiting positive returns. This opens up opportunities for more focused strategies such as thematic investing.

Analytics | Portfolio Risk Management
Another tech bubble about to burst? (Yes, and this one could be even worse…)
Another tech bubble may be about to burst, triggering a US recession. There are multiple similarities between the current tech bubble and the dot-com bubble. This time, however, the Fed cannot leverage interest-rate cuts to put the brakes on a market decline, due to the current record-high inflation combined with low interest rates.

Analytics | Portfolio Risk Management
Hands-on reverse stress testing: A practical guide to reverse stress test a portfolio
How badly could a portfolio get hurt? What scenario would be responsible for such a loss? What are the main risk drivers in this scenario and how plausible would such a scenario be? These questions are all part of what is commonly called reverse stress testing. This paper aims to illustrate how one could follow a very pragmatic end-to-end workflow to answer these questions.

Historically Canadian equity managers have had difficulty accurately modeling their investment universe across the US and Canada. North America regional risk models used to construct portfolios just aren’t able to capture the nuances of both markets and are dominated by the US. That’s why we created the Axioma North America Linked Model.

Index | Portfolio Construction
A CVaR Scenario-Based Framework for Minimizing Downside Risk in Multi-Asset Class Portfolios
In this research, we show a two-phase scenario-based CVaR hedging approach to help minimize downside risk in MAC portfolios.

In risk management a lot of focus and attention is (rightly) put on models and methodologies used to compute ex-ante risk measures. And in the context of a multi-asset class universe which is vast by nature, perfect data (market data, terms and conditions provided by the user) and bug-free algorithms are not always possible. Therefore, one of the key challenges for risk managers is to ensure that any risk analytic produced is sound and reliable.

Analytics | Portfolio Risk Management
Inflation and Its Impact on the Stock-Bond Correlation: What history can teach us about their future relationship
In this paper, we examine the historical interaction of equity and bond-market returns—both in the recent past and over the last 70 years—in an effort to identify the main triggers of shifts in their relative directions.