News & Research

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.  

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.

Most markets remain below the red line so far in 2022; Defensive sectors prevail; Global trading volume nears 3-year low.

UK rescue package inflates Gilt yields; Euro recovers after ‘jumbo’ ECB rate hike; Weaker cross-asset correlation reduces portfolio risk.

Gilt yields soar but recession fears remain; Rising ECB rate expectations support euro amid looming energy and inflation crisis; Portfolio risk rises as stocks and bonds tumble together.

The new fund was listed on Sept. 7 and replicates the iSTOXX® Access Metaverse, an index tailored around a custom methodology aimed at tracking the key beneficiaries of a nascent theme in our modern world.

Currency risk remains high as other factor-block risks have fallen; US Dollar’s strength leads to outsized returns for the Exchange-Rate Sensitivity style factor; US Exchange Rate Sensitivities by sector are opposite in sign from their non-US counterparts.

Changes were announced as part of the September regular review of the DAX 50 ESG, DAX ESG Target, DAX ESG Screened and DAX indices.

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.

Qontigo appointed Stephane Degroote as Global Head of Investable Products Sales. In this newly created role, Degroote will be responsible for building Qontigo’s relationships with ETF issuers and positioning the firm’s STOXX and DAX indices as underlyings for new investable products.

Qontigo’s global index provider STOXX Ltd. has announced changes to the DAX index family, which will become effective on 19 September 2022.

The STOXX Global 1800 index dropped 4.1% in dollars last month, taking its retreat in 2022 to 17.9%. Investors are bracing for even tighter monetary policy as central banks fight higher-for-longer inflation.