Whitepapers

This article provides a high-level refresher of what tracking error means, and how we can embed it directly into portfolio construction.

A new whitepaper from Qontigo’s research team explores the benefits of constructing an exclusions portfolio with an optimizer, which helps limit active risk and frees up capital to allocate towards sustainability or performance objectives.

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.

Since late 2021, the STOXX Emerging Markets 1500 index has shown lower forecast and realized volatility than the STOXX Global 1800, a benchmark for developed economies. Using Axioma’s Factor Risk Models, a new whitepaper from Qontigo’s Applied Research team investigates the drivers of this anomaly.

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.

The recently launched STOXX Global Metaverse Index uses a sophisticated methodology to screen those companies with the most relevant patents in technologies associated with the Metaverse. This allows investors to target innovators whose products and services are likely to be leading the transition to the virtual world in the coming years. A new Qontigo whitepaper explores the index in detail.

In this paper, we explore the rationale and methodology behind the construction of the index. We start by explaining the concept of megatrends and how they can be captured through thematic indexing, using a multifaceted approach. We look as well at the index performance before concluding with an outlook on the opportunities for the Metaverse in the years to come.

ESG funds can target very different objectives and their names mean very different things. So, what, in reality, are their overall achievements when it comes to broad sustainability metrics? What active risk are investors taking on to accomplish them? And can optimization help balance sustainability and risk? A new whitepaper from Qontigo examines these matters.

In this paper, our goal is to show how sustainability ETF exposures to a number of sustainability-related factors may vary. It is eminently clear to us that investors with a view about key sustainability features cannot rely on the fund name, but instead need to do more digging into whether their fund meets the required criteria.

A new white paper from Qontigo analyzes the components of a multi-factor alpha forecast in a universe of US stocks. The alpha has enhanced market returns over the last 20 years, with 2021 showing the best annual results.

We examine the composition and profile of the STOXX Global Digital Entertainment and Education Index, a thematic index that underlies a new iShares ETF, for investors interested in understanding the portfolio’s composition and drivers of returns.

A new Qontigo white paper analyzes the effect of changes in term spreads, or the difference between long- and short-term sovereign bond yields, on the performance of the iSTOXX Developed and Emerging Markets ex USA PK VN index. The findings show a rise in term spreads has, overall, helped returns for the global real estate index since 2019, but the relationship varies depending on regional exposure and period.