April 14, 2016
Recording- Axioma Insight™ Quarterly Risk Review Q1 2016
Date: Thursday, April 14, 2016
Time: 11:00 AM EDT, 4:00 PM GMT
Presenter: Melissa Brown, CFA, Senior Director, Applied Research
• Volatility once again reared its head this year, after a sustained period of relative quiet. The increase was broadly distributed across equity markets, countries, sectors, currencies and bonds. And the impact was? We will discuss those changes that likely had the biggest effects on portfolios.
• Style factors have exhibited a high degree of volatility year to date, with some factors, such as Medium-Term Momentum producing near-record low returns. We will examine global and regional equity style performance to see where the surprises have been concentrated…and what may come next.
• Risk in certain markets, notably Japan, has popped, driven by both shifts in central bank policy and changes in prevailing economic forces. We will examine the drivers and the features of those shifts in more detail.
Melissa Brown, CFA, Senior Director, Applied Research
As Senior Director of Applied Research, Melissa Brown generates unique insights into risk trends by consolidating and analyzing the vast amount of data on market and portfolio risk maintained by Axioma. Brown’s perspectives help both clients and prospects to better understand and adapt to the constantly changing risk environment. As author of Axioma Insight: Quarterly Risk Review, Brown reports on the state of risk in publicly traded equity markets around the globe. In addition, Brown produces periodic special reports on a broad range of topics of interest to investors and asset owners. Brown is a frequent speaker on the subject of market risk and is often quoted by the financial media.
Prior to joining Axioma in 2011, Brown was Managing Director and head of the institutional business at Wintrust Capital Management. Before that she spent 10 years at Goldman Sachs Asset Management, most recently as a Partner in the Quantitative Investment Strategies (QIS) Group.
At Goldman Sachs Asset Management, Brown worked closely with clients as the senior portfolio manager for GSAM’s US Equity Strategy, before becoming co-head of Client Portfolio Management in the QIS Group. She was previously Director of Quantitative Research at Prudential Securities, where among other things she popularized the idea of the “cockroach theory” of earnings surprise and appeared on Institutional Investor’s “All-Star” list for 10 straight years. Brown is a Chartered Financial Analyst. She holds a BS in economics from The Wharton School of the University of Pennsylvania and an MBA in finance from New York University