Indices

Axioma works with asset managers, investment banks and index providers to deliver strategic beta products using our risk models and portfolio-construction expertise.
 
OUR PARTNERS INCLUDE:


STOXX: STOXX Minimum Variance Indices
This index family seeks to minimize volatility in a portfolio. The index offers a constrained, or regular, version, which is suitable for investors looking for a risk-minimized benchmark and an unconstrained version has fewer constraints, which gives the index the freedom to truly reflect minimum variance rather than mirror a benchmark.

  • Tradable factor and risk-based indices
  • Efficient way for asset managers and investors to better match returns with a specific market
  • Appropriate for asset managers or investors seeking to implement systematic beta strategies
  • Can serve as the basis for ETF or structured products
  • Partnerships with leading index providers, such as STOXX
  • Utilizes single and multiple asset class risk models
  • Highly customized to your specific investment parameters
  • Ability to partner with virtually any index provider globally

Where Have All the Utilities Gone? Financials Now Dominate a Crowded Low Vol World

Since mid-2012, the allocation to the Financials sector in typical low volatility portfolios has doubled in most markets and is now the largest sector allocation. At the same time, allocations to utilities and consumer staples have decreased substantially. The resulting portfolios may be so concentrated in Financials that managing the resulting exposures is difficult.


Tradability versus Performance: The Role of Liquidity in Minimum Variance Smart Beta Products

Low volatility-themed strategies have been among the most popular "smart beta" index products introduced in recent years, and minimum variance in particular has become a widely adopted approach to implementing low-volatility exposure. Axioma researchers consider to what extent the "theoretical" low risk of these strategies is driven by illiquidity masquerading as low volatility. Do returns of minimum variance strategies encapsulate some form of liquidity premium in addition to the outperformance of low risk stocks? And, if there is a tendency to tilt towards smaller and less liquid stocks, what can be done to ensure tradability of minimum variance portfolios?

Find out more about how Indices can help you. Contact us at sales@axioma.com 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.