Factor Performance Continued to Fall Short in Q2—and Constraints Only Made Things Worse

Momentum’s recovery in Q2 was a welcome event for many factor-based investors. Unfortunately, that recovery probably wasn’t enough to pull quant managers out of the hole.

Posted 06.11.19 Melissa R. Brown, CFA

The Truth About Fixed Income Factors

Traditional fixed income models are not well placed to live up to more advanced demands. So what to do?

Posted 06.03.19 Luca Bosatta

Commonly Used Portfolio Constraints Have Exacerbated Weak Results from Poor Factor Performance in 2019

After a tough end to 2018 for factor-based managers, hopes were high for a turnaround this year. Unfortunately, the turn has failed to materialize.

Posted 05.17.19 Melissa R. Brown, CFA

A Tough First Quarter for Systematic Managers?

According to the returns for Axioma’s factors, the first quarter of 2019 was probably a tough one for many systematic, factor-based investors, especially those investing in the US. Across ...

Posted 04.02.19 Melissa R. Brown, CFA

Axioma’s ROOF™ Scores Explained

Axioma’s ROOF™ Scores were created to quantify market sentiment—in other words, bullish or bearish?

Posted 05.10.19 Olivier d'Assier

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 ...

Posted 04.10.19 Olivier d'Assier