NEW YORK, Aug. 22, 2019 /PRNewswire/ -- Axioma, theleading global provider of enterprise risk management, portfoliomanagement and regulatory reporting solutions, today announced theaddition of the new Canada equityrisk model (AXCA4) to its next-generation Equity Factor Risk Modelsuite. The release builds on the existing risk models, offeringenhanced country-specific content to meet the risk-management needsof investors.
The estimation universe for the new Canada model contains over 440 stocks andETFs, with coverage history from 1995. The enhanced data includesdeep daily history and, for the first time, incorporates macrofactors for residual Gold and Oil sensitivity.
Equity Model Handbook (Berkeley, Ca.: Barra Inc., 1994). The uncovered risk factor is robust across periods, and it is evenly distributed across assets and countries, with the noticeable.
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'The introduction of macro factors such as Gold and Oilsensitivity in the CA4 model captures the importance of thesenatural resources in the Canadian economy,' said Arnab Banerjee, Director, Product Management atAxioma. 'The new CA4 model also uses a custom and granular industryfactor structure to better reflect other key Canadian markets, suchas the paper and forest-products segment.'
Axioma's updated Canada riskmodel utilizes 17 market-based and 15 fundamental style modeldescriptors, offering deeper insights into short and medium-horizonrisk exposures. In addition to holistic improvements to attributionand risk estimates, key enhancements include:
Expanded securities universe coverage of Canada-listed shares and ETFs
Additional fundamental factors, including market intercept,dividend yield, and profitability
The new market-based factors covering residual Oil and Goldsensitivity
Updated industry classifications for more comprehensiverepresentation of the Canadian market
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'There are notable differences in the behavior of factors in theCanadian market,' said MelissaBrown, Head of Applied Research at Axioma. 'Having anability to drill down into a Canada-specific view of risk offers superiorrisk-management capabilities to managers focused on thatmarket.'
The Canada model is part ofAxioma's comprehensive suite of portfolio construction,optimization and risk solutions. Top-line benchmark risk estimatesusing the new model are now available through our Equity RiskMonitors.
Considering we have hundreds of risk models on FactSet from five major risk vendors, it’s become increasingly important to help our clients choose a risk model. 1994 polaris xlt special manual. First, the five vendors available on FactSet are R-Squared, Northfield, SUNGARD-APT, Axioma, and MSCI-Barra. Axioma, a provider of innovative risk and portfolio management solutions, today released updated versions of Axioma Portfolio Analytics™ ('APA') and Risk Model Machine™ ('RMM').These enhancements reflect Axioma's commitment to capturing and incorporating customer feedback into its solutions and follow major releases of both solutions in March of this year.
Axioma’s production quality and industry validated risk model methodologies, enabling maximum performance within your investment process Comprehensive platform for portfolio construction, risk analysis, performance attribution, and strategy research of equity portfolios.
The new version of Risk Model Machine, which allows clients to build proprietary risk models using Axioma’s IP and core models as the foundation, will support the upcoming US4 fundamental factor risk model. This enables users to take advantage of the most recent Axioma risk model and methodologies as a base in their own custom risk model.
About Axioma
Axioma provides an integrated suite of innovative andcustomizable investment-management solutions to a global clientbase of asset managers, hedge funds, insurance companies, pensionfunds, wealth managers and investment banks. Our award-winningsolutions and tools include multi-asset enterprise risk management,portfolio construction, performance attribution, regulatoryreporting and custom index design. With over $10 trillion in assets under management, ourclients rely on Axioma for decision intelligence that supports theentire investment process, across the front, middle and backoffices. Enabled by Axioma's market-leading technology from APIs tothe cloud-native open environment of axiomaBlue™ andfully integrated content and analytics, our clients deploy Axioma'ssolutions to create competitive advantage – 'from risk toreturn'™. Learn more at www.axioma.com and followus on Twitter and LinkedIn.
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