Most recent articles by Olivier d'Assier
Axioma’s ROOF™ Scores Explained
Axioma’s ROOF™ Scores were created to quantify market sentiment—in other words, bullish or bearish?
Investor Sentiment Tanks on News of Renewed Trade War… But ROOF™ Scores Show a Deterioration Since February
Investors seemed surprised by the market reaction Monday to news of a resumption of the trade war between the world’s two biggest economies, but should they have been?
Is Investor Sentiment Subject to Seasonality?
While seasonality has been widely explored, we decided to see if clarity could be obtained by looking at it through the lens of a metric based on Axioma risk models.
Risk-On/Risk-Off and the Schrödinger Quadrant
The stock market’s version of the Ellsberg paradox states that investors exhibit ambiguity aversion, in the sense that they prefer risks with known probability measures over risks with unknown ones. Since the probability measure governing future stock market prices is clearly unknown, we can conclude that market volatility is a reflection of investors’ aversion to both risk and ambiguity ...
Are the wheels coming off the volatility cycle?
If the last three months of market volatility seem eerily familiar, it is because they are.