News & Research

In a previous post (here) we analyzed the risk of US High Yield and Investment Grade portfolios using the Axioma Factor-based Fixed Income Risk Model (FFIM), which is calibrated using cross-sectional techniques and incorporates style factors.

When trades from separately managed accounts are pooled for execution, the realized market-impact cost can be far greater than the sum of the predicted cost over all accounts.

The traditional Markowitz MVO approach is based on a single-period model. For long-term investors, multi-period optimization offers the opportunity to make “wait-and-see” policy decisions by including approximate forecasts and long-term policy decisions beyond the rebalancing time horizon.