Uh-Oh, Canada: Canadian Style Factors Show High Volatility
While Version 4 of our Canada model also showed some big differences between Canada and other markets, Canada stood out most in terms of factor volatility.
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Fixed Income factors: Why do we build credit curves?
We take a look at how we build credit curves to serve as a foundation for fixed income models and the advantages they have over some other methodologies.
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.
What Is a Factor? The Impact of the Long-Only Constraint
In a follow-up to a recent paper, we drill down into the impact of a long-only constraint.
Pension Funds: Time to Rethink Asset Allocation Strategies?
In the past 10-20 years, positive interest rate sensitivity has had serious implications for Strategic Asset Allocation. We envision new equity products being developed which better control such interest sensitivity.