Whitepapers

The list of sustainable investment (SI) frameworks guiding portfolio design is long and keeps growing. Rarely a day goes by without intense discussion of some or all of them, and their often-conflicting implications for fund design. The authors of this paper aim to contribute towards this intensifying debate by examining in detail (as of October 2021) the criteria used in the 12 most important European pieces of legislation, country-specific fund labels and other standards guiding SI product design.

In this research, we show a two-phase scenario-based CVaR hedging approach to help minimize downside risk in MAC portfolios.

This is the second in a series of Qontigo and Clarity AI research papers, which focuses on the challenge of measuring impact as a key means of bridging the gap between impact investment theory and practice.

In this whitepaper, we show how portfolios can be built that provide more attractive sustainability characteristics – without taking on too much risk.

In risk management a lot of focus and attention is (rightly) put on models and methodologies used to compute ex-ante risk measures. And in the context of a multi-asset class universe which is vast by nature, perfect data (market data, terms and conditions provided by the user) and bug-free algorithms are not always possible. Therefore, one of the key challenges for risk managers is to ensure that any risk analytic produced is sound and reliable.

In this paper, we examine the historical interaction of equity and bond-market returns—both in the recent past and over the last 70 years—in an effort to identify the main triggers of shifts in their relative directions.

For this paper Qontigo’s Sustainable Investment Team collaborated with Clarity AI’s research team to deep dive into the theory and practice of impact investment, define the gaps and propose the reconciliation methods between the two.

This whitepaper evaluates two thematic investment strategies – STOXX® Global Ageing Population (“Ageing Population”) and STOXX® Global Millennials (“Millennials”) – which seek exposure to these two distinct generations.

Using our portfolio construction tools combined with Redpoint’s forecasted dividend yield, alpha signal and local market expertise, we developed an optimized income methodology.

In this paper we analyzed four tech-oriented thematic indices’ performance and risk through a factor lens leveraging Axioma’s Worldwide Fundamental Factor Model, and also compared their characteristics to the broad market indices.

Understanding changes in risk estimates can be key, especially in times of crisis when volatilities spike and correlations point in the same direction, eliminating the diversification that was supposed to protect a portfolio.

The best risk model is the one most closely aligned to your strategy. In some cases, using a single integrated regional model may help you achieve better results. We offer a range of Equity Factor Risk Models – US, Developed Markets ex-US, and Emerging Markets – connected as a Linked Model for more flexible and tailored risk forecasting and attribution.