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. 

Posted 08.16.19 Melissa R. Brown, CFA

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.

Posted 08.15.19 Olivier d'Assier

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.

Posted 08.08.19 Olivier d'Assier

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.

Posted 08.08.19 Melissa R. Brown, CFA

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.

Posted 08.06.19 Melissa R. Brown, CFA

Axioma ROOF™ Score Weekly Highlights

This week's Axioma ROOFTM Score highlights delve into market sentiment swings on an escalating trifecta of geopolitical risks.

Posted 08.06.19 Olivier d'Assier