Qontigo Releases Enhanced North America Equity Factor Risk Model
Thursday, March 12th, 2020
12 March 2020 - Qontigo, an investment intelligence leader and provider of best-of-breed analytics and world-class indices, has announced the release of the Axioma North America Equity Factor Risk Model (AXNA4). This next generation model includes additional market factors for superior performance and risk attribution analysis.
The new AXNA4 model covers roughly 10,400 securities for both United States and Canadian markets including ADRs and foreign listings of North American issuers trading in other geographies.
“Our latest North America model stresses improvements to the structure and methodology of factors,” said Alessandro Michelini, Managing Director of Front Office Solutions at Qontigo. “These enhancements provide investors with a clear understanding of factor exposures across a larger factor library.”
AXNA4 incorporates numerous enhancements including:
- Additional factors including Market Sensitivity, Profitability and Dividend Yield for informative and intuitive results
- Improved quality and stability of exposures
- New shrinkage estimator for firms with limited data to gain stable exposures for IPOs
- Enhanced portfolio analysis capabilities with stable and intuitive exposures for risk decomposition
- New outlier detection methodology for estimating factor returns and refreshed model history available in the statistical model
The North America model is part of the Axioma Equity Factor Risk Model Suite built by experienced researchers and updated daily to provide the most comprehensive risk and portfolio analysis to make more informed investment decisions.
Qontigo is a financial intelligence innovator and a leader in the modernization of investment management, from risk to return. The combination of the group’s world-class indices and best-of-breed analytics, with its technological expertise and customer-driven innovation, enables its clients to achieve competitive advantage in a rapidly changing marketplace. Qontigo’s global client base includes the world’s largest financial products issuers, capital owners and asset managers. Created in 2019 through the combination of Axioma, DAX and STOXX, Qontigo is part of Deutsche Börse Group, headquartered in Eschborn with key locations in New York, Zug and London.