Factor Reversal Halts, but Volatility Remains Elevated

While last week’s sharp reversal of factor returns has halted, higher levels of factor volatility persist.

Posted 09.18.19 Diana R. Rudean, PhD

The Fed’s ‘insurance’ cut? Not cutting it…

The 25-basis point downward move in the Federal Funds Rate target range at the end of July was meant to be an ‘insurance’ cut to support the US economy.

Posted 09.13.19 Christoph Schon, CFA, CIPM

Has the Factor World Gone Mad and Are We on the Brink of Another Quant Crisis?

Many have drawn a parallel between this month and what happened in July of 2007.

Posted 09.13.19 Olivier d'Assier

Momentum nosedives

Is Momentum’s sharp reversal an indication of changes in investor sentiment and a turning point for markets?

Posted 09.11.19 Diana R. Rudean, PhD

Is investor sentiment (a-a-achoo!) contagious?

In this post, we investigate whether Axioma’s ROOF scores give any credence to the old adage, “When Wall Street sneezes, all markets catch a cold.

Posted 08.26.19 Olivier d'Assier

Boris Johnson’s ROOF™ Report Card

We use the Axioma ROOF Scores to quantify investors’ expectations of the new PM in the run-up to his nomination, and the report card they have given him since.

Posted 08.23.19 Olivier d'Assier