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Axioma enhances global equity risk model suite

First Published 1st November 2017

New factors, enhanced methodologies, and customization options improve articulation of risk

Axioma, a provider of enterprise market risk analytics and portfolio construction solutions, has released the latest version of its suite of Worldwide Equity Risk Models (WW4), which consists of short- and medium-horizon fundamental and statistical models. Key features include new factors, enhanced methodologies and model customization options via Risk Model Machine and the WW4 Factor Library.

Features WW4 include:

  • New factors: Introduction of new factors in response to investment trends, such as the rising allocation towards smart beta strategies, offer managers a more granular estimate of risk and return. Updates include new factors for market sensitivity (beta); profitability; dividend yield; and earnings yield.
  • Methodology Enhancements: Fine-tuned methodology related to the treatment of extreme and missing data; returns timing due to global market asynchronicity; and the modeling of linked assets, such as ADRs and cross listings, as well as a new currency model.
  • Customization: Clients can use the standard WW4 models as the foundation with Risk Model Machine and the new WW4 Factor Library to build custom risk models that align with their unique investment process. Clients can also use the Factor Library to perform exposure analysis and create custom risk analytics.