Continue active refreshing of this index's data?
Continue active refreshing of this index's data?
News & Research
Most Recent News & Research
Factor investing is an investment strategy in which securities are chosen based on certain characteristics with the goal of achieving a given investment outcome.
Analytics | Portfolio Construction
Alpha Calibration: Aligning Your Portfolio Construction Process for Optimal Results
For both quantitative and fundamental managers, alpha calibration is a critical part of the optimal portfolio construction process – but are you doing it right?
Analytics | Portfolio Risk Management
Qontigo InsightTM Quarterly Risk Highlights Q2 2020: The Storm After the Storm? Applied Research
Equity markets posted one of the best quarters in more than a decade, but most were not able to cross into black territory for the year.
Analytics | Portfolio Construction
Mean-Reversion and Market Recoveries: Stocks Hit Hardest First Tend to Outperform
Do equities that suffer the greatest losses in the initial stages of a major market downturn subsequently outperform during the recovery?
Analytics | Portfolio Construction
Qontigo Case Study: A Tax-Managed Investing Technology and Analytics Solution
Wealth managers today have a myriad of nuances to sort through in order to deliver the most tax-efficient investment options to clients. Complexities arise when managers must simultaneously harvest tax-losses, transition legacy accounts and withdraw cash—all with minimal tax impact.
Analytics | Portfolio Risk Management
Qontigo InsightTM Quarterly Risk Highlights Q1 2020: The Corona Quarter
The first quarter of 2020 came in roaring like a lion and went out like a (slaughtered) lamb. After stock indices were pushing new records in the first half of the quarter, the bloodbath in equities that followed not only ended the longest-running bull market in the US history, but also threw indices worldwide into a bear market.
Analytics | Portfolio Construction
Adding Alpha by Subtracting Beta: A Case Study on How Quantitative Tools Can Improve a Portfolio’s Returns
During turbulent risk environments, it is imperative that fundamental portfolio managers learn to understand factor exposures to know what is driving their portfolios’ returns.
This paper documents collaborative research between State Street and Qontigo on a framework for quantifying macroeconomic risk using a fundamental equity risk model.
Analytics | Portfolio Construction
High-Yield Bonds: Analyzing the Risk and Return Tradeoff When Rates are Negative
In a world where some investors pay the government for the privilege of lending it money—and where even fixed income securities with the lowest investment-grade credit ratings yield barely more than 1% per annum—the “hunt for yield” becomes ever more challenging.
The ability to attribute portfolio risk and performance to key factors, such as overall market exposure, rates, sectors, and quality, is an essential tool for helping portfolio managers to understand their risk and interpret their results. A parsimonious factor risk model can also support advanced portfolio construction goals, such as minimizing benchmark tracking error or realizing factor exposure tilts.
Analytics | Portfolio Risk Management
Qontigo InsightTM Quarterly Risk Highlights Q4 2019: Markets celebrating! But Factor Investors? Not So Much…
2019 was a remarkable year, with benchmarks around the world climbing to new records, while volatility plunged. Both emerging and developed markets shared in the overperformance, with all components of risk falling for both markets. However, style factors saw mixed results, with few reporting outsized returns for the quarter or year.
The trade war between China and the US has been the single most important driver of financial market performance in the past three years, and despite the recent optimism that a “phase one” deal is within reach, there is still a distinct possibility for it to fall apart at the last minute.