News & Research

Risk management solutions can deliver a myriad of quantitative reports at any level and users often get bogged down with very detailed statistics about all aspects of their strategy, bypassing the important insight provided by summary metrics on their portfolios.

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.

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.

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.

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.

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.

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.

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.

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.