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