News & Research

Helped by the repeated promise of continuous stimulus from the Fed and the Biden administration, US investor sentiment began to stage a rebound from deep in bearish territory, to the edge of the neutral zone (top chart). In recent weeks, a deteriorating sentiment had capped market’s advances, but that downward pull seems to weaken last week with both ROOF ratios recovering some ground, ending just shy of the neutral zone.

The STOXX Industry Neutral Ax Factor Indices were introduced in February and leverage Axioma’s advanced portfolio-construction tools and risk models. They provide a robust choice for investors looking to reduce unintended exposures and access the return of factors.

Qontigo’s Global Head of Sustainable Investment spoke at the Eurex Derivatives Forum Frankfurt 2021, where he discussed the need to set clear frameworks in ESG investing and provide customized sustainable solutions for investors.

Treasury yields see-saw, as Fed tries to ease inflation concerns; Euro falls over fears of third COVID wave; Portfolio risk ebbs on lower equity volatility

Most equity markets have soared since the 2020 downturn; Equity risk still above pre-pandemic levels; Post-vaccine rotation reflected in both sector and style performance.

US markets reached new record highs last week, but sentiment remains risk-averse. European markets seem to anticipate a stimulus-induced rebound in sentiment. Global and Asia ex-Japan investor sentiment recovers slightly to end week in neutral.

The TRFs on the EURO STOXX Banks Index and EURO STOXX Select Dividend 30 Index will be listed on Mar. 29. TRFs have seen strong demand from banks selling structured products and other market participants as a way to efficiently gain exposure to price-plus-dividend returns of shares and indices.

Qontigo’s Tax-Managed Investing solution enables asset managers to improve post-tax returns through tax savings. Two new whitepapers investigate the benefit of active tax management for investment strategies, focusing on a broad cap-weighted equity market index and on factor-based strategies.

In this paper, we analyze tax efficient smart-beta portfolios based on the flagship STOXX Factor Index Suite with direct indexing to realize the tax advantages. Smart-beta strategies naturally lend themselves to tax alpha given their high turnover. The STOXX Factor Index suite consists of the Value, Momentum, Small Size, Low Risk, and Quality single-factor indices and a multifactor index engineered to deliver the risk premium associated with each factor using a diversified index of securities with carefully managed exposure, liquidity, and risk characteristics.

Active tax management targets 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 investment strategies tracking broad cap-weighted equity market indices. Our simulations with historical market data show that tax loss harvesting with the Axioma Portfolio Optimizer can deliver substantial tax savings at low or moderate tracking error levels.

Treasury curve continues to steepen, as Fed ups economic outlook; US yields outstrip Bunds amid widening growth forecasts; Portfolio risk declines, as equities and FX rates decouple once more.

In this research piece, we demonstrate the value of the Axioma Worldwide Equity Linked Factor Risk Model (WWLM4-MH or ‘Global Linked Model’) for solving two very common analytical problems when managing global portfolios. Global equity mandates are often broken into specialist mandates segregated by geography.