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Latest Whitepapers
Index | Qontigo Whitepapers
WORKING PAPER: Understanding Investor Preferences through Passive Investment Flows
In this paper, we use the transparency afforded by ETFs to analyze investor flows, but also look through to the underlying holdings, to understand the time-varying preferences of passive investors. We have found that year on year, there is a great deal of variability in style, industry and regional exposures. However, these exposure preferences tend to be neutral over longer time frames. This is in contrast to a consistent preference for performance, reflected by flows going towards ETFs with strong in-year returns.
The case study will show how EMI approaches three different requirements by the end client related to tax-managed investing, using the portfolio construction and decision-making tool, Axioma Portfolio Optimizer.
Transaction costs play a crucial role for any investor considering adopting sustainable principles in their investments. This study from ISS LiquidMetrix and STOXX investigates the costs, and cost efficiencies, of shifting a benchmark portfolio of European equities to climate-transition versions.
Direct indexing continues to gain momentum as an investment strategy for its potential to provide higher post-tax returns and portfolio customization. Direct indexing strategies with active tax management target 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 direct indexing strategies tracking broad cap-weighted equity market indices.
Index | Qontigo Whitepapers
ISS STOXX® Biodiversity Indices: How to Incorporate Biodiversity Considerations in Index Construction
Biodiversity is vital for our planet and society. With the emergence of the Kunming-Montreal Global Biodiversity Framework, investors are gaining a better understanding of biodiversity-linked risks and opportunities in their portfolios. This paper begins by exploring the current metrics available for assessing the biodiversity footprints of companies. It then describes the ISS STOXX framework for building biodiversity indices, based on three fundamental steps: “Avoid,” “Minimize,” and “Enable.”
Analytics | Qontigo Whitepapers
What Are the Odds? Getting a better read on portfolio risk-return metrics
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.
Analytics | Index | Qontigo Whitepapers
Green Efficient Frontiers: Practical Considerations in Constructing Sustainability 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.
Analytics | Index | Qontigo Whitepapers
Tracking Error 101: The Intuition Behind Measurement and Control
This article provides a high-level refresher of what tracking error means, and how we can embed it directly into portfolio construction.
Analytics | Index | Qontigo Whitepapers
Green efficient frontiers. Part 1: Minimizing the risk impact of exclusions
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.
Analytics | Qontigo Whitepapers
Understanding private asset risk through the lens of Axioma Equity Factor Risk Models
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.
Throughout 2022 and into 2023, the EM gauge has shown lower forecast and realized volatility than the global DM benchmark. A new whitepaper investigates the drivers of this anomaly.
This paper investigates the effectiveness of a proxy for the new SDI Innovation Outlook score in predicting equity returns and enabling the construction of outperforming portfolios.