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Press Releases — December 11, 2018

Axioma Announces Emerging Markets Equity Risk Model

NEW YORK, December 11, 2018  Axioma, the leading provider of enterprise risk management, portfolio management and regulatory reporting solutions, has added a new Emerging Markets risk model (AXEM4) to its Equity Factor Risk Model Suite. AXEM4 incorporates the latest methodologies and research, plus a deep daily history with historical coverage since 1997, enabling investment managers to obtain a better picture of emerging markets’ exposures, risk and investment performance.

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“The market environment can change fast, especially this year.” said Joel Coverdale, Managing Director, Asia Pacific, at Axioma. “With pressing global events, such as the US-China trade war, looming over markets, the only way to sleep well at night is knowing you have a sound risk management process that accurately assesses your true exposures and allows you to position appropriately. In this context, investment managers looking to develop robust investment strategies in Emerging Markets need more granular information when constructing their portfolios. We specifically developed our new AXEM4 risk model to address this need.”

AXEM4, which uses seven market-based style factors and six fundamental style factors, fits the needs of investors looking for more detailed, in-depth knowledge of the Emerging Markets space. The model improves upon Axioma’s existing Equity Factor Risk Model suite with region-specific insights, improved portfolio construction and backtesting while enabling more effective hedges.

Key enhancements of the Emerging Markets Risk Model include:

  • New Style Factors: AXEM4 includes market sensitivity, profitability, dividend yield and earnings yield as new style factors for the Equity Factor Risk Model suite.
  • Improved Factors: AXEM4 provides more stable exposures, updated definitions and enhanced exposures for IPOs.
  • Methodology Improvements: Methodology improvements include the treatment of extreme and missing data and a new currency model.

The new Emerging Markets Risk Model complements Axioma’s suite of portfolio construction and risk solutions, including Axioma’s Factor Risk Models and Pure Factor Portfolios, as well as the Axioma Risk Model Machine and Factor Libraries.