Do Yield Curve Inversions Impact Factor Performance?
A client recently asked an intriguing question: “Do style factors behave differently after a yield-curve inversion?” One might think they would, but that turned out not to be the case.
Stay current with the latest from Axioma
Succumbing to Sentiment - Axioma ROOF™ Scores Provide Insights into an Abrupt Market Turn
The US market fell 3% overnight and the implied volatility from the VIX shot up to 22%. We use ROOF™ Scores to attempt to see how this could have happened.
How much smart beta can you deliver?
Over the last five years, the style factor returns in Axioma’s Asia ex-Japan fundamental model for Profitability really stand out.
New Axioma Risk Model Shows UK Bests Many Regions in Return Opportunities
The introduction of an upgraded risk model provides us with a new opportunity to look at factors, and whether we can expect their risks to be compensated over time.
Notes on The Meltdown
The Russell 1000 fell more than 5% from July 31 to August 5, and other indices were similarly down. Owing to those market moves, the risk environment abruptly changed.