HONG KONG, January 9, 2019 – Axioma, the leading global provider of enterprise risk management, portfolio management and regulatory reporting solutions, announces that it has released a new China equity risk model (AXCN4) as part of its next-generation Equity Factor Risk Model suite. This release follows the recent addition of Axioma’s Emerging Market risk model (AXEM4) and offers focused, country-specific content to meet rapidly growing risk management needs of investors in China’s onshore and offshore markets.
The AXCN4 model delivers enhanced risk insights for over 5,400 Shanghai, Shenzhen, Hong Kong and overseas-listed securities – including ETFs. The updated model incorporates deep daily history with historical coverage through 1999 to enable portfolio construction and back testing, transparent attribution, and hedging.
“China’s onshore and offshore investment community is becoming significantly more sophisticated every year,” said Joel Coverdale, Managing Director, Asia Pacific, at Axioma. “In parallel, style factor exposures have become key performance indicators across China’s markets. The timely addition of our new risk model is intended to expertly assist the rapidly growing group of professional investors managing Chinese equities in better balancing portfolio exposures and performance strategy.”
Axioma’s updated China risk model utilizes thirteen market-based and fifteen fundamental style model descriptors, offering deeper insights into short and medium-horizon risk exposures. The model incorporates several key enhancements including:
- Expanded Securities Universe: coverage of both domestic and offshore Chinese securities, including ETFs – 5,400+ securities.
- Additional Fundamental Factors: new style factors including Dividend Yield and Profitability
- Updated Classifications: AXCN4 uses a new industry classification for more comprehensive representation of the domestic China market.
“Through 2019, Chinese equities will very likely be faced with a more complex and higher volatility environment as global trade tensions and growth concerns persist,” said Olivier d’Assier, Head of Applied Research for APAC at Axioma. “As a result, the institutions and investors that are adopting an intensive approach to risk modelling will be best positioned to manage performance against these fundamental trends.”
The China Risk model is part of Axioma’s larger suite of portfolio construction, optimization and risk solutions.