Axioma Portfolio Analytics

Axioma Portfolio Analytics puts your portfolios to the test, revealing both risks and sources of returns for attribution in both ex-ante and ex-post analyses.
Apply time series risk analysis, stress testing and both traditional Brinson and factor-based performance attribution. Leverage the strengths of Axioma Portfolio Analytics full integration with Axioma’s fundamental, statistical and macroeconomic risk models, or custom risk models you build with Axioma Risk Model Machine.

  • Forecast portfolio risk and tracking error
  • Identify sources of risk, including exposure to investment styles, industries, countries and currencies or idiosyncratic asset risk
  • Analyze risk trends over time to assess variations in risk exposure or unintended drifts
  • Evaluate your factor bets or allocation decisions using performance attribution (factor-based or Brinson-style attribution)
  • Use custom risk models built using your own alpha factors to understand and convey the value added by your investment strategies, both internally and to your clients
  • Identify sources of underperformance relative to your benchmark and reduce your exposure to factors or assets that contribute to underperformance
  • Assess return relative to risk using Sharpe or information ratios and statistics to demonstrate your risk-adjusted performance
  • Select from a comprehensive set of summary reports or customize reports using Microsoft SSRS
  • Automate your workflow from content loading to portfolio importing to analysis, scaling to thousands of portfolios for enterprise-wide analytics and attribution reporting.
  • Integrate with other internal tools using web services
  • Compare your portfolios side-by-side using the interactive portfolio dashboard to monitor the risk profile and performance of each portfolio on a daily basis
  • Leverage Axioma’s full range of risk models: fundamental country, regional, global, and emerging market models; statistical models; macroeconomic models; and custom risk models
  • Stress-test your portfolios to see how they would have performed in past crises; shock economic indicators, such as oil prices, economic growth rates and credit spreads, to estimate the impact on portfolio performance

Axioma Portfolio Analytics: An Integrated View of Your Portfolio's Risk and Return

Axioma Portfolio Analytics provides time-series risk analysis, stress testing, and both traditional Brinson and factor-based performance attribution, fully integrated with Axioma's fundamental, statistical and macroeconomic risk models as well as custom risk models built with the Axioma Risk Model Machine (RMM).

Axioma Risk Model Machine: Customizable Risk Models Tailored to Your Investment Process

Custom risk models built with Axioma Risk Model Machine enable clients to achieve enhanced results because the models are tailored to the client’s own investment process. RMM is a flexible, powerful and easy-to-use tool that provides users with a competitive edge in risk forecasting, portfolio construction, performance attribution and alpha research.

Active Managers versus Passive Products: How to Win the Debate...

In an era of widely available passive products, active managers must demonstrate the value of their products and substantiate that value by demonstrating consistent and repeatable investment skill. In this paper, Axioma researchers contend that investment managers should tailor performance attribution methods to match their investment processes, highlighting sources of portfolio returns that correspond to their intended bets and showing that these sources are statistically significant overtime. 

Adjusted Factor-Based Performance Attribution

Factor-based performance attribution can fail to tell the whole story. One reason is a strong correlation between the factor and specific return contributions that leads to potentially erroneous attributions. This correlation stems from a “misspecification” of the returns model and causes the factors to over- or under-explain the returns of a given portfolio. Axioma researchers propose an adjusted factor-based performance attribution methodology that generally results in attributions that are more intuitive and provide stronger support of factor-based investment mandates.

Find out more about how Axioma Portfolio Analytics can help you. Contact us at or call us:
North America: +1-212-991-4500
Europe: +44-(0)20-7856-2424
Asia: +852-8203-2790 
We look forward to hearing from you.