Most recent articles by Olivier d'Assier
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.
Succumbing to Sentiment - Axioma ROOF™ Scores Provide Insights into an Abrupt Market Turn
The US market fell 3% overnight and the implied volatility from the VIX shot up to 22%. We use ROOF™ Scores to attempt to see how this could have happened.
How much smart beta can you deliver?
Over the last five years, the style factor returns in Axioma’s Asia ex-Japan fundamental model for Profitability really stand out.