Melissa R. Brown, CFA - Managing Director of Applied Research

As Managing Director of Applied Research, Melissa Brown generates unique insights into risk trends by consolidating and analyzing the vast amount of data on market and portfolio risk maintained by Axioma. Brown’s perspectives help both clients and prospects to better understand and adapt to the constantly changing risk environment.

Most recent articles by Melissa R. Brown, CFA

Factor Performance Continued to Fall Short in Q2—and Constraints Only Made Things Worse

Momentum’s recovery in Q2 was a welcome event for many factor-based investors. Unfortunately, that recovery probably wasn’t enough to pull quant managers out of the hole.

Posted 06.11.19 Melissa R. Brown, CFA

Commonly Used Portfolio Constraints Have Exacerbated Weak Results from Poor Factor Performance in 2019

After a tough end to 2018 for factor-based managers, hopes were high for a turnaround this year. Unfortunately, the turn has failed to materialize.

Posted 05.17.19 Melissa R. Brown, CFA

Are European Stocks Really Less Volatile? Or Are Correlations Driving Volatility Lower?

Since the drivers of volatility (up or down) are always of interest, we decided to look a little deeper into the causes of this apparent apathy of the European market.

Posted 05.02.19 Melissa R. Brown, CFA

A Tough First Quarter for Systematic Managers?

According to the returns for Axioma’s factors, the first quarter of 2019 was probably a tough one for many systematic, factor-based investors, especially those investing in the US. Across most regions we track closely returns were negative for Medium-Term Momentum, Value, Low Volatility and Low Market Sensitivity (beta). The quarter’s results were more mixed regionally for Profitability, Earnings ...

Posted 04.02.19 Melissa R. Brown, CFA

Finding Opportunities with Axioma’s Asia Pacific ex-Japan Model

A study of style factor returns for Axioma’s Asia ex-Japan (APxJP) fundamental variant risk model reveals some potential investment opportunities for factor-based managers investing in the region.

Posted 02.20.19 Melissa R. Brown, CFA