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Axioma announces new release of Japan Equity Factor Risk Model

First Published 16th May 2017

Joel Coverdale, Axioma

Joel Coverdale, Axioma

London - Axioma, a provider of risk and portfolio management solutions, has launched the latest version of its Japan Equity Factor Risk Model suite (AXJP4). The Model provides improved methodologies, style factors and exposures for its fundamental and statistical models.

"Sophisticated risk management is taking centre stage, emphasizing the need for advanced and effective tools", said Joel Coverdale, Asia Pacific Managing Director at Axioma. "Our latest Japan Equity Risk Model suite exemplifies our commitment to providing clients with more informative and intuitive results for performance and risk attribution."

Axioma's Japan Equity Factor Risk Model suite offers:

  • Asset coverage of over 3,700 securities listed on multiple Japanese stock exchanges
  • Multiple views of risk - fundamental and statistical
  • Multiple horizons which enable distinction between short-term (1-2 months) and medium-term (3-6 months) forecasts
  • Daily estimations of factor exposures, covariances and asset specific risks

Clients can gain a more accurate picture of how their strategies perform through Axioma's four model variants within the suite, comprising medium- and short-horizon, fundamental and statistical factor models. A holistic view of risk incorporating multiple model variants allows users a more informed decision-making tool.

The latest Japan Equity Factor Risk Model suite includes the following features:

JP4 Fundamental:

  • Latest research methodology -- implemented using a new model framework including a market intercept factor and an improved factor return estimation methodology
  • Intuitive factor selection through improved style and industry factor structures
  • New Style Factors include: Profitability, Earnings Yield and Dividend Yield
  • Custom industry classification based on GICS 2016 Classification
  • Improved quality and stability of exposures with a new weighting scheme for estimating market-based exposures

JP4 Statistical:

  • New outlier detection method which improves factor risk predictions