Most recent articles by Olivier d'Assier
The Value of Getting Sentimental about Your Alphas
We believe that investors would benefit from combining their independent alpha signal with some measure of investor sentiment via an alpha-shrinking process.
Stress Testing a Presidential Impeachment – Part Deux
Unlike the threat of impeachment proceedings in May 2017, this time it’s for real. So, what might investors expect from this development and how might they best respond?
Has the Factor World Gone Mad and Are We on the Brink of Another Quant Crisis?
Many have drawn a parallel between this month and what happened in July of 2007.
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.”
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.