Portfolio Risk Management — February 2, 2022

A more robust approach to modeling Canadian equity funds

Historically Canadian equity managers have had difficulty accurately modeling their investment universe across the US and Canada. North America regional risk models used to construct portfolios just aren’t able to capture the nuances of both markets and are dominated by the US. That’s why we created the Axioma North America Linked Model.

This model connects the Axioma US and Canada Equity Factor Risk Models for more flexible and tailored risk forecasting and attribution for Canadian managers. By linking these two models, managers receive insight on the important drivers of their portfolio risk within each local market. In this case study we provide a real-world analysis of how this linked approach can provide optimal portfolio performance results and alignment to mandates for a Canadian equity manager.

Author

Leon Serfaty

Qontigo Solutions Specialist