Building a Better Equity Risk Model

As there is virtually no limit to the number of strategies available to investors these days, crafting a universally accepted, fully scalable equity risk model is no small feat.

Posted 03.01.18 Alessandro Michelini

High noon in Europe as key votes loom

Sunday, March 4, will be an “interesting” day for European politics, with two votes that could be crucial for the future of the European Union. Both have the potential for ...

Posted 02.26.18 Christoph Schon, CFA, CIPM

Treasury yields and factor returns? Acquaintances, but little in common…

Most style factors show weak relationships with rising yields.

Posted 02.22.18 Diana Rudean, PhD

The Diversification Squeeze

Diversification from risk factor correlations in Axioma’s global multi-asset class model portfolio is at its lowest level since the portfolio’s inception in November 2016.

Posted 02.21.18 Christoph Schon, CFA, CIPM

Low Volatility ETFs Offer Little Relief as Volatility Roars Back

During the recent downturn, low volatility ETFs delivered, but failed to make up for their underperformance in good times.

Posted 02.15.18 Diana Rudean, PhD

It’s the inflation, stupid! Um, isn’t it?

For most of 2017, we observed a negative relationship between stock and bond price returns. This resulted in a healthy diversification benefit in our global multi-asset class model portfolio.

Posted 02.15.18 Christoph Schon, CFA, CIPM

Keep Calm and Watch Your Exposures

Should I get in? Should I get out? Now that volatility is up, what should I do?

Posted 02.14.18 Applied Research

As the US Market Gyrates Not All Sectors Suffer Equally

Most US sectors have now reversed their gains for the year while their relative riskiness changed, which likely had a big impact on portfolios with sector bets.

Posted 02.12.18 Diana Rudean, PhD