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

Volatility Skyrockets as Market Tanks

That the market’s recent rout was accompanied by rising levels of predicted volatility is hardly surprising. The magnitude of the increase, however, was another story.

Posted 10.26.18 Melissa R. Brown, CFA

Wednesday’s Sell-Off Leads to Big Changes in Benchmark Risk

Wednesday’s sell-off in global markets clearly had an impact on risk, as factor volatility soared.

Posted 10.11.18 Melissa R. Brown, CFA

Momentum Had A Tough Day on Wednesday, But Low Volatility Soared

Yesterday, October 10, the factor gave back some return, and in many cases the return was larger than what would have been expected given the risk forecast on October 9.

Posted 10.11.18 Melissa R. Brown, CFA

Beware the GICS Turnover!

We ran some simple tests to get a sense of how much turnover might be required to maintain tight sector weights under the new GICS sector regime.

Posted 09.27.18 Melissa R. Brown, CFA

GICS Changes Seem More Evolutionary Than Revolutionary

We believe the GICS changes reflect a transformation in the economy that has been building for quite a while—and therefore just create more accurate labels.

Posted 09.26.18 Melissa R. Brown, CFA