Applied Research

Treasury yields and factor returns? Acquaintances, but little in common…

Most style factors show weak relationships with rising yields.

Posted 02.22.18 Diana Rudean, PhD

The Diversification Squeeze

Diversification from risk factor correlations in Axioma’s global multi-asset class model portfolio is at its lowest level since the portfolio’s inception in November 2016.

Posted 02.21.18 Christoph Schon, CFA, CIPM

Low Volatility ETFs Offer Little Relief as Volatility Roars Back

During the recent downturn, low volatility ETFs delivered, but failed to make up for their underperformance in good times.

Posted 02.15.18 Diana Rudean, PhD

It’s the inflation, stupid! Um, isn’t it?

For most of 2017, we observed a negative relationship between stock and bond price returns. This resulted in a healthy diversification benefit in our global multi-asset class model portfolio.

Posted 02.15.18 Christoph Schon, CFA, CIPM