New Release of Axioma’s Japan Equity Factor Risk Model
Tuesday, May 16th, 2017
Axioma, a global provider of innovative risk and portfolio management solutions, today launched the latest version of its Japan Equity Factor Risk Model suite (“AXJP4”). The Model provides improved methodologies, enhanced style factors and enriched exposures for its fundamental and statistical models, which all combine to deliver improved risk forecasts and better articulate risk.
“Sophisticated risk management is taking centre stage, emphasizing the need for advanced and effective tools,“ said Joel Coverdale, Asia Pacific Managing Director at Axioma. “Our latest Japan Equity Risk Model suite exemplifies our commitment to providing clients with more informative and intuitive results for performance and risk attribution.”
Axioma’s Japan Equity Factor Risk Model suite offers:
- Asset coverage of over 3,700 securities listed on multiple Japanese stock exchanges
- Multiple views of risk – fundamental and statistical
- Multiple horizons which enable distinction between short-term (1-2 months) and medium-term (3-6 months) forecasts
- Daily estimations of factor exposures, covariances and asset specific risks
Clients will gain a more accurate picture of how their strategies perform through Axioma’s four model variants within the suite, comprising medium- and short-horizon, fundamental and statistical factor models. A holistic view of risk incorporating multiple model variants allows users a more informed decision-making tool.
The latest Japan Equity Factor Risk Model suite includes the following highlights:
- Latest research methodology -- implemented using a new model framework including a market intercept factor and an improved factor return estimation methodology
- Intuitive factor selection through improved style and industry factor structures
- New Style Factors include: Profitability, Earnings Yield and Dividend Yield
- Custom industry classification based on GICS 2016 Classification
- Improved quality and stability of exposures with a new weighting scheme for estimating market-based exposures
- New outlier detection method which improves factor risk predictions
Axioma introduces enhancements to its models on a regular basis to provide clients the most advanced suite of model competencies and tools required to cater to increasing complexities in risk management and portfolio construction.
Axioma is a leading provider of enterprise risk management, portfolio construction, and risk and regulatory reporting solutions that offer incomparable insights into the constantly evolving state of risk. Financial institutions worldwide rely on Axioma’s sophisticated suite of tools and flexible open platform technology to unify the view of risk across front, middle and back office functions, helping to drive efficiency and bring transparency to performance. Axioma has received numerous accolades for its innovative technology, which serves as the centerpiece of its clients’ risk management strategy. In 2016, its enterprise risk management solution, Axioma Risk, was named Best Buy-Side Risk/Portfolio Analytics Product at the Buy-Side Technology Awards and the Best Innovative Solution at the L’Agefi AMtech Day Awards. Axioma was also included on the Chartis RiskTech100® 2017, a ranking of the world’s most significant risk and compliance technology companies. Axioma is headquartered in New York, with offices throughout Europe and Asia-Pacific. The Axioma logos and product brands are trademarks/service marks of Axioma, Inc. For more information please visit www.axioma.com. Follow us on Twitter and LinkedIn.