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. Baechle, 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

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.

Posted 08.22.19 Melissa R. Brown, CFA

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.

Posted 08.22.19 Melissa R. Brown, CFA

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