Qontigo, an investment intelligence leader and provider of best-of-breed analytics and world-class indices, announced the release of the Axioma Factor-based Fixed Income Risk Model. This model leverages Qontigo’s market-leading expertise and research capabilities in the equity factor space with insights into systematic macro and style factor exposures to meet the growing demand for factor-based investing in fixed income.
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“Fixed income investors have struggled to get a clear understanding of the risks associated with their factor-based strategies,” said Ian Lumb, Qontigo’s Managing Director of Fixed Income Solutions. “Our new factor-based risk model is a cross-sectional model that provides users with additional explanatory power that was not available in the past with traditional rules-based models. The fixed income factor model is versatile and can be used for many different investment functions including fixed income portfolio construction, factor-based risk attribution and index replication.”
Powered by the Axioma Fixed Income Spread Curves, the model has an extensive 15-year history of granular fixed income risk factors updated daily – offering the most robust data quality on the market. It includes five industry-accepted style factors for optimal portfolio construction to allow investors to calculate efficient style tilted portfolios and ensure stable results that easily explain sources of risk.
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“Qontigo is an industry leader in analytical risk models, and among the most advanced in the fixed income market,” said Rob Stubbs, Head of Research at Chartis.
The Axioma Factor-based Fixed Income Risk Model is currently available as an Axioma Portfolio Optimizer™ flat file, updated daily. Additional delivery methods will be made available throughout the next phases.
The complete Axioma Fixed Income Solutions Suite includes:
- Axioma Fixed Income Spread Curves
- Axioma Granular Fixed Income Risk Model
- Axioma Factor-based Fixed Income Risk Model
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