A rolling stone gathers no moss, but an old risk model does

Investors have been talking about risk ever since the first time one of them got a forecast wrong. Given the impossibility of the investor in question being blamed for this ...

Posted 05.23.17 Olivier d'Assier

Right-tail risk swings to the left

For months, we have been writing about the unusual and unexpected low level of market risk. Risk for large-cap US stocks has skimmed historically low levels, and most other markets ...

Posted 05.18.17 Melissa Brown, CFA

Beware of taking labels at face value

Although many exchange-traded funds (ETFs) have similar names, they are unlikely to deliver similar returns. There were significant differences in the performance of US high-dividend funds in the wake of ...

Posted 05.16.17 Sebastian Ceria

GBP risk reaches lowest level since Brexit vote; Portfolio risk declines as FX/equity correlation weakens

Week of May 12

This week we take a look at how the predicted exchange rate volatility for GBP/USD declined to levels last seen before the Brexit vote in ...

Posted 05.16.17 Christoph Schon, CFA, CIPM

Equity Risk Monitor Insights

Once a week, we publish a summary of the highlights from the prior week, using Axioma’s risk models and analytic tools to transform data into information.

Posted 05.09.17 Melissa Brown, CFA

Are low volatility readings capturing a sense of calm or foreboding?

Last Friday, the Vix – often referred to as the “fear gauge” – declined 6.6% in a single day to close the week at 10.1.

Posted 05.04.17 Olivier d'Assier