News & Research

The recent collapse of several banks has sparked fears of a 2011-style “doom loop,” in which losses in the financial sector spread to the wider economy. So far, contagion has been limited, but a further deterioration in credit quality could result in drawdowns across all sectors.

Using Axioma’s Macroeconomic Projection Model, we decompose the risk factors that drove returns in the STOXX Global Broad Infrastructure between 2020 and 2022. The results show the index had a positive exposure to the risk model’s inflation factors, meaning it stood to benefit from rising global inflation expectations.

We look into the economic risks of employing factor-style strategies such as those in the STOXX Factor Indices, by screening them through Axioma’s Macroeconomic Projection model. The findings show that some styles have more economic exposure than others, and that macro variables can be correlated with industry, country and style factors, to different degrees.

The FAANGs — Facebook (now Meta), Amazon, Apple, Netflix and Google (i.e., Alphabet) — are having an annus horribilis. But they still have gains to show for the past three years, and, importantly for investors, the group’s influence on the US market has only decreased so much.

The ROOF methodology can capture the ‘sentiment’ of a portfolio relative to its benchmark. We run ROOF scores to determine the risk appetite of investors holding four portfolios aligned with respective Sustainable Development Goals.

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.

Olivier d’Assier, Qontigo Head of APAC Applied Research, speaks in “Bloomberg Daybreak Asia” with Shery Ahn and Haidi Stroud-Watts. He says the message from central banks to investors is clear: “Help is definitely not coming”. He discusses how this will play out in the markets and other risks to sentiment.

A new Qontigo white paper runs the numbers on the iSTOXX Developed and Emerging Markets ex USA PK VN, a global real estate index, to understand the relationship between expected inflation in the US, Europe and the UK, and index returns. The findings show that the sector has represented a good overall inflation hedge over the last couple of years, although regional and portfolio considerations can create exceptions.

Real estate has long had the reputation of being at least a partial hedge against inflation, since both rental income and property values typically respond positively to inflationary pressures. The iSTOXX Developed and Emerging Markets ex USA PK VN Index has lived up to this reputation historically and is continuing to do so in the current inflationary environment.

The STOXX WTW Climate Transition Indices are a new approach to managing climate risk that offer investors a systematic and transparent way to incorporate climate transition risk into their investment decisions.

This paper focuses on creating SDG portfolios that maximize exposure to one, two or all SDGs. The study shows that it is quite possible to create a portfolio that significantly improves the exposure to SDGs without taking on too much active risk. An optimizer can help manage that active risk.