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

Quant quake comparison? This looks worse

Our recent blog post on factor performance discussed factor returns on an absolute and risk-adjusted basis during the recent market downturn.

Posted 03.23.20 Melissa R. Brown, CFA

Quant Quake 2020? As Factor Volatility Mirrors Market Volatility, Most Returns Head in the Wrong Direction

Equity investors, needless to say, have faced a brutal market since February 20. But factor-based investors have experienced additional pain from factor returns.

Posted 03.20.20 Melissa R. Brown, CFA

Steep and Swift So Far, This Dive Isn’t Over, if History Is Any Guide

We likely to have further to go in this downturn, and it could take a long time for the market to retrace its steps back to its January level.

Posted 03.16.20 Melissa R. Brown, CFA

Markets — and Factor Returns — Run Wild: Time to Check Your Bets

Indeed, the magnitudes of recent market swings have been substantial, and probably seemed even worse given the relatively low levels of volatility prior to February.

Posted 03.06.20 Melissa R. Brown, CFA

The Market Rout by the Numbers

The STOXX USA 900 index fell about 6.5% from February 24 through 25, with other markets around the world seeing similar declines.

Posted 02.26.20 Melissa R. Brown, CFA