As the stock market takes a downward turn, it’s a good time to check if the advertised down-side protection of low volatility stocks has behaved as hoped. This short article shows that, in fact, low volatility and low beta stocks have suffered far less than their riskier alternatives.
Research Paper No. 053
The inadequacies of risk management were laid bare by the global financial crisis in 2008. Risk must be managed across the entire enterprise. Axioma’s Lev Zaks examines how forward-looking institutions should address this challenge.
Axioma Portfolio Analytics™ and Risk Model Machine™ v 7.7 Deliver Multiple Usability and Functionality Enhancements
NEW YORK, September 4—Axioma today announced the availability of the latest versions of Axioma Portfolio Analytics™ and Risk Model Machine ™, offering users a range of innovations that enhance ease-of-use, increase performance and provide new pathways to deeper insights.
“With v7.7, Axioma has raised the bar yet again,” said Pamela Vance, PhD, Vice President of Product Management. “These new versions incorporate the latest and best ideas of both our clients and Axioma’s development team, and the result is better performance and a more user friendly experience.” Read more…
A quick glance at a chart of predicted risk over the past 30 years suggests that risk in the past has typically risen in advance of major market declines. We set out to quantify the likelihood of a major drawdown in the near future based on current risk model readings. Data from our US risk model suggests a low likelihood of a major drawdown, at least in the near term.
Research Paper No. 052
NEW YORK, July 16 — Axioma today announced that Sebastian Ceria, PhD, founder and chief executive officer of Axioma, was named to Institutional Investor’s (II) annual Tech 50 list of the top technology innovators in financial services. Read more…
Axioma Awarded U.S. Patent for “Dynamic Volatility Adjustment” That Improves Factor Risk Model Responsiveness
NEW YORK, July 22 — Axioma today announced that the company was awarded a patent for the Axioma Dynamic Volatility Adjustment™ algorithm (DVA). This innovation improves the responsiveness and quality of Axioma’s equity risk models, while maintaining stability during critical shifts in market volatility. DVA supports the construction of factor risk models that better predict the future volatility of portfolio returns. Read more…