Factor Reversal Halts, but Volatility Remains Elevated
While last week’s sharp reversal of factor returns has halted, higher levels of factor volatility persist.
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.
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.”
Axioma’s New Canada Model Adds Macroeconomic Sensitivities
We have added two other factors to the new model that reflect the unique composition of the Canadian economy: residual gold sensitivity and residual oil sensitivity.
Uh-Oh, Canada: Canadian Style Factors Show High Volatility
While Version 4 of our Canada model also showed some big differences between Canada and other markets, Canada stood out most in terms of factor volatility.