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Posted: Friday, February 20, 2015

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Multi-period Portfolio Optimization With Alpha Decay

Multi-period Portfolio Optimization With Alpha Decay

The traditional Markowitz MVO approach is based on a single-period model. Single period models do not utilize any data or decisions beyond the rebalancing time horizon with the result that their policies are myopic in nature. For long-term investors, multi-period optimization offers the opportunity to make wait-and-see policy decisions by including approximate forecasts and long-term policy decisions beyond the rebalancing time horizon. We consider portfolio optimization with a composite alpha signal that is composed of a short-term and a long-term alpha signal. The short-term alpha better predicts returns at the end of the rebalancing period but it decays quickly, i.e., it has less memory of its previous values. On the other hand, the long-term alpha has less predictive power than the short-term alpha but it decays slowly. We develop a simple two stage multi-period model that incorporates this alpha model to construct the optimal portfolio at the end of the rebalancing period. We compare this model with the traditional single-period MVO model on a simulated example from Israelov & Katz [12] and also a large strategy with realistic constraints and show that the multi-period model tends to generate portfolios that are likely to have a better realized performance.

Research Paper No. 055

Posted: Tuesday, February 10, 2015

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Axioma Q4 Insight Suggests Market Risk On the Rise: Managers Beware

Risk Turns Upward in Fourth Quarter of 2014 And Forecasted to Rise in Year Ahead
NEW YORK, February 10, 2015 — Risk made a sharp turnaround from the year’s pattern of decline in the fourth quarter of 2014, fueled by tumbling oil prices, weakening currencies, and a number of other economic factors, according to an analysis of Axioma risk models. Risk factors are suggesting a choppier period of market returns and risk in 2015. Axioma is a leading provider of advanced tools for risk management and portfolio construction. Read more…

Posted: Tuesday, January 6, 2015

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SmartCEO Recognizes Axioma Founder and CEO Sebastian Ceria as Future 50 Winner

SmartCEO Recognizes Axioma Founder and CEO Sebastian Ceria as Future 50 Winner

Sebastian Ceria, founder and CEO of Axioma, was named among 60 Greater New York companies recognized for their fast growth in New York SmartCEO’s Future 50 Awards program. The program recognizes the region’s 50 fastest-growing mid-sized companies and 10 small Emerging Growth companies who have experienced outsized growth based on a combined three-year average of revenue and employee growth.

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Posted: Friday, January 2, 2015

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Low Volatility Strategies Will Outperform: Axioma

Low Volatility Strategies Will Outperform: Axioma

Axioma APAC Managing Director Olivier d’Assier discusses the global risks that could affect Asian markets and how investors should play them with Bloomberg’s Angie Lau on “First Up.”.

Full Article

Posted: Friday, November 7, 2014

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No Halloween Surprises for Low Volatility: Low Volatility/Beta Continues Its Strong Performance

No Halloween Surprises for Low Volatility: Low Volatility/Beta Continues Its Strong Performance

Two weeks ago, the market was down and low volatility/low beta performed well as down-side protection. Since then the market is up, and low volatility/low beta is still out-performing the market.

Research Paper No. 054

Posted: Wednesday, October 29, 2014

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Axioma Advisor eNewsletter - Fall 2014

Fall 2014 issue of Axioma Advisor eNewsletter is now available

Posted: Wednesday, October 15, 2014

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Low Volatility Gets a Chance to Prove Itself And Does…

Low Volatility Gets a Chance to Prove Itself And Does…

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

Posted: Sunday, September 7, 2014

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New Tools for Better Risk Management

New Tools for Better Risk Management

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.

Full Article

Posted: Thursday, September 4, 2014

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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…

Posted: Wednesday, August 20, 2014

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Drawdowns Looming? It’s Not in the Numbers…

Drawdowns Looming? It’s Not in the Numbers...

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