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

Factoring in Volatility

The good news for factor-based investors is that, with a few exceptions, the heightened volatility has not shown up in returns of a number of commonly-used factors. 

Posted 02.06.18 Melissa Brown, CFA

The downside of too little downside risk

What’s in a Crash? Axioma Head of Applied Research for APAC, Olivier d'Assier, explores whether an apparent lack of risk is risk in and of itself.

Posted 01.11.18 Olivier d'Assier

It’s Baaa-aack! Market’s recent tailspin drives surge in volatility

While much has been written about the increase in VIX over the past few days, factor risk models can provide substantial additional insights.

Posted 02.06.18 Diana Rudean, PhD

The Momentum Ball Remains in Growth’s Court

Has the outperformance of Growth been solely the result of strong performance of tech stocks? We think not. While Growth became riskier than value, relative risk remains below peak levels.

Posted 11.28.17 Melissa Brown, CFA

Enhanced Transitive Stress Testing: The Dynamic Difference

This blog explores the potential of dynamic stress testing and how this new approach can provide managers with more precise tests.

 

Posted 12.14.17 Robert Stamicar