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Axioma releases new Australia Equity Factor Risk Model

First Published 23rd May 2017

New features to deliver improved risk forecasts and enable a better articulation of risk.

Joel Coverdale, Axioma

Joel Coverdale, Axioma

London - Axioma, a provider of risk and portfolio management solutions, has launched the latest version of its Australia Equity Factor Risk Model suite (AXAU4). New features include an improved style and industry factor structure, enhanced stability of factor exposures and a refined estimation universe, all intended to deliver improved risk forecasts and enable a better articulation of risk.

"With the heightened sense of uncertainty that exists in today's capital markets, the importance and need for effective risk management has grown rapidly. Axioma is committed to delivering advanced solutions that allow our clients to focus on achieving better results, "said Joel Coverdale, Asia Pacific Managing Director at Axioma. "The latest Australia Equity Factor Risk Model suite incorporates enhancements that will deliver better results for portfolio attribution, lower turnover in portfolio construction and improved risk forecasts."

Axioma's Australia Equity Factor Risk Model suite offers:

  • Asset coverage of over 1,800 securities listed on the Australian Securities Exchange
  • 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

and includes includes the following features:

AU4 Fundamental:

  • Modified Style factor structure - consistent with the newest generation of Axioma's modelling approach and designed factor specific to the Australia market with enhanced factor definition.
  • New Style Factors include Profitability, Dividend Yield, EM Sensitivity and Exchange Rate Sensitivity
  • New industry structure incorporating the GICS 2016 classification and combining thin sub-industries
  • Refined estimation universe covering the major indices and important sectors like Financials, Materials, Energy and Real Estate

AU4 Statistical:

  • New outlier detection method which improves factor risk predictions