Latest Blog Posts

Analytics | Portfolio Construction
Anxious about rising yields and inflation? Here’s why (perhaps) you should be…
Rising interest rates are customarily accompanied by gains in stock prices and increasing consumer prices, which are usually seen as signs of a healthy, growing economy. There may come a point, however, when (expected) inflation becomes so high that the central bank may feel compelled to tighten monetary conditions.

It appears onerous and sometimes confusing, but the European Union’s Sustainable Finance Disclosures Regulation (SFDR) that kicked in this week aims to enhance and protect participation in sustainable investments — a cause well worth the trouble.

Analytics | Regulatory Reporting
Managing Derivative Securities? Top 5 Questions to Ask Your Risk Management Provider Ahead of the New Derivatives Rule
The countdown has begun. The Securities and Exchange Commission (SEC) adopted the 18f-4 Derivatives Rule in October last year, which means most SEC-registered companies will now have to make sure they don’t fall foul of the rule by August 19, 2022. While it seems a long time away, it’ll be here before you know it. To that end, we’ve put together a few questions you should ask your existing – or potential – risk solutions provider.

Analytics | Index / ETFs
Dividend Yield strategies rebound but European banks are not part of the picture
Dividend Yield strategies are starting to stage a comeback, no thanks to European banks. After banks stopped paying dividends and exited the STOXX Europe Select Dividend 30 index, the index saw large changes in its profile, with Real Estate contributing the largest proportion of dividend yield to the index, followed by Insurance. The tracking error […]

This post was originally published in 2019 with 9 different challenges. We have added an additional challenge and will present our results in more detail on March 17, 2021. Register for the webinar: https://qontigo.com/event/top-10-challenges-of-credit-construction/. We have developed an algorithm to produce thousands of robust issuer-specific and generic rating/sector credit curves. In this blog post, we […]

Analytics | Portfolio Risk Management
Risk Webinar: New SEC Derivatives Rule ‘Is Sea Change and Opportunity’
Rule 18f-4 is likely the most significant change ever to the way the SEC regulates funds’ use of derivatives, and will have a large impact on how registered companies will need to manage their derivatives risk. We hosted a Risk.net webinar with Dechert LLP and Wellington Management to discuss what this important legislation entails, how firms are preparing for it and what risk measurements are required. The main message? Companies need to focus on this now to make the Aug. 19, 2022 deadline.

Analytics | Portfolio Risk Management
Inflation. Commodities. Term Spreads: New Macro Model Highlights Their Return Contribution
The macroeconomy has dominated financial news in recent weeks, driven in no small part by the specter of rising inflation. In a fortunate coincidence, Qontigo has just released the new Axioma Macroeconomic Projection Equity Factor Risk Model (WWMP4).

Analytics | Portfolio Risk Management
When ‘good’ inflation becomes ‘bad’ inflation – 2018 reloaded?
Recent market movements bring back memories of a similar series of events almost exactly three years ago: a sudden drop in share prices, a sharp rise in Treasury yields and a strengthening dollar—all of it blamed on inflation.