Melissa R. Brown, CFA - Managing Director of Applied Research

As Managing Director of Applied Research, Melissa Brown generates unique insights into risk trends by consolidating and analyzing the vast amount of data on market and portfolio risk maintained by Axioma. Brown’s perspectives help both clients and prospects to better understand and adapt to the constantly changing risk environment.

Most recent articles by Melissa R. Brown, CFA

A Tough First Quarter for Systematic Managers?

According to the returns for Axioma’s factors, the first quarter of 2019 was probably a tough one for many systematic, factor-based investors, especially those investing in the US. Across most regions we track closely returns were negative for Medium-Term Momentum, Value, Low Volatility and Low Market Sensitivity (beta). The quarter’s results were more mixed regionally for Profitability, Earnings ...

Posted 04.02.19 Melissa R. Brown, CFA

Finding Opportunities with Axioma’s Asia Pacific ex-Japan Model

A study of style factor returns for Axioma’s Asia ex-Japan (APxJP) fundamental variant risk model reveals some potential investment opportunities for factor-based managers investing in the region.

Posted 02.20.19 Melissa R. Brown, CFA

Recessions, Expansions and Factor Performance: Not Much of a Factor-Timing Strategy

Given the recent inversion of the yield curve, and with companies like Apple guiding earnings estimates down, there’s more than just a whiff of a recession in the air.

Posted 01.18.19 Melissa R. Brown, CFA

A Shaky Start for Factor Returns, Especially in the US

With just nine days of factor returns for 2019, we have already seen sharp reversals of fortune in some factors, and an abundance of larger-than-expected returns in the US.

Posted 01.15.19 Melissa R. Brown, CFA

Minimum Variance Has Delivered in This Downturn

One of the major advantages of minimum variance strategies is that the lower-than-market volatility and beta should pay off by offering protection when the market stumbles, as it has recently.

Posted 12.21.18 Melissa R. Brown, CFA