Whitepapers

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.

Do equities that suffer the greatest losses in the initial stages of a major market downturn subsequently outperform during the recovery? Here we examine the 10 largest US equity downturns of the past 38 years along with the current COVID-19 market crisis focusing on the performance of the worst performing quintile during the initial downturn, in the expectation that these names might experience mean-reversion and gain more during the market recovery than they lost at the outset.

The DAX® 50 ESG Index is the flagship index for sustainable equity investments in Germany and the most recent addition to the DAX® index offerings. The DAX® 50 ESG tracks the performance of a diversified portfolio of 50 largest, most liquid eligible German market stocks screened for Global Standards Screening, involvement in controversial weapons, tobacco, thermal coal, nuclear power and military contracting.

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.

During turbulent risk environments, it is imperative that fundamental portfolio managers learn to understand factor exposures to know what is driving their portfolios’ returns. By avoiding the performance drag that results from certain risk bets they can deliver higher alpha. Fundamental managers can leverage quantitative tools to help identify and reduce the impact of those unintended bets, while still maintaining their investment views and goals.

This paper explores the similarities between the current COVID-19 crisis and the early stages of the global financial crisis (GFC) in an effort to identify sensible investment strategies for the next few weeks. Since some stocks experienced strong reversals during the GFC, we suggest that may occur now. In addition, factor strategies that outperformed during the GFC may also do well now.

This paper documents collaborative research between State Street and Qontigo on a framework for quantifying macroeconomic risk using a fundamental equity risk model.

Last year we introduced the Qontigo ROOF Scores as a quantification of investor sentiment. The methodology uses the factor returns from eight style factors of Axioma’s short-horizon fundamental factor risk models, plus two indicators of market risk, to define the current level of risk appetite in the market.

Following on from the successful derivatives launches in 2019, STOXX Ltd. (now part of Qontigo) has recently licensed the STOXX® USA 500 ESG-X Index as an underlying for listed futures on Eurex. These are the first derivatives covering the US market to include screening for thermal coal mining and coal-fired power plants. The new futures have been available since February 10, 2020, expanding the ESG derivatives product suite to a global level.

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.