Whitepapers

Factor investing has gained popularity in recent years and large asset flows have been recorded into so-called smart beta and risk premia themed products.

In this paper, we analyze the performance of the EURO STOXX 50® ESG Index spanning the turbulent market conditions caused by the COVID-19 pandemic.

In this paper, we analyze the performance of some of the flagship ESG-X indices underlying exchange-traded derivatives (ETDs) and exchange-traded funds (ETFs).

Factor investing is an investment strategy in which securities are chosen based on certain characteristics with the goal of achieving a given investment outcome.

For both quantitative and fundamental managers, alpha calibration is a critical part of the optimal portfolio construction process – but are you doing it right?

The Index Effect is the phenomenon where stocks that are added to an index experience positive excess returns in the days before being officially added.

The Sector ROOF, introduced in 2019, defines a risk-on/risk-off “sector personality”, and then looks at sector performance for an additional perspective on investor sentiment.

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.

The STOXX® Europe 600 Paris-Aligned Benchmark Index was launched in June 2020. In backtested data since March 2018, we find that the strategy has offered a higher return and lower volatility versus its benchmark. This paper drills down into some of the factors driving those results.

This paper illustrates the processes that Qontigo followed in constructing the STOXX Paris-Aligned Benchmark Indices and the additional steps taken to reinforce the objectives of the EU PABs.

STOXX Factor Indices are designed for investors who want to reap factor premia while avoiding the noise that pervades many other such products that allow undesired exposures.

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.