Applied Research

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 outrageously unpredictable outcome, a third-party had to be named to take the fall and, thus, ‘risk’ was born. Like all negative things in life, we would rather not think about ...

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 have seen risk far closer to historical lows than to highs.  After the market drop on May 17, in the immortal words of Inspector Clouseau, “Not any more”.

VIX – which ...

Posted 05.18.17 Melissa Brown, CFA

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 June 2016. Short-horizon risk for the pound now stands at 9.76% as of Friday, May 12, compared with 10.44% on the day UK voters decided to the leave ...

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