Most recent articles by Melissa R. Brown, CFA
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.
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.
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.