LONDON, August 8, 2019 – Axioma, the leading global provider of enterprise risk management, portfolio management and regulatory reporting solutions, today announced the addition of the new United Kingdom equity risk model (AXUK4) to its next-generation Equity Factor Risk Model suite. The release builds on the existing risk models, offering enhanced country-specific content to meet the risk-management needs of investors.
The new AXUK4 model delivers risk insights on over 6,000 United Kingdom-listed securities, including REITs and ETFs. The updated model incorporates deep daily history, with coverage starting in 1997 to enable portfolio construction and back testing, transparent attribution, and hedging.
“Axioma’s new United Kingdom equity risk model is an exceptional tool for better portfolio management,” said Alessandro Michelini, Managing Director, Front Office Solutions at Axioma. “Now more than ever, investors need accurate and tailored models to properly capture the unique attributes of each market. Our new and enhanced UK Model meets those needs.”
Axioma’s updated United Kingdom risk model utilizes 13 market-based and 15 fundamental style model descriptors, offering deeper insights into short and medium-horizon risk exposures. In addition to holistic improvements to attribution and risk estimates, the new version incorporates several key enhancements including:
- Expanded Securities Universe: coverage of over 6,000 United Kingdom-listed shares, REITs and ETFs
- Additional Fundamental Factors: new style factors including Market Intercept, Dividend Yield and Profitability
- Updated Classifications: new industry classifications for more comprehensive representation of the United Kingdom market
“With the Brexit decision looming, it is more important than ever for investment managers to have an accurate local risk model that captures the nuances of the UK market,” said Melissa Brown, Head of Applied Research at Axioma. “But even in ‘normal’ times, this model will be instrumental in helping investors to better understand and manage portfolio volatility.”
The United Kingdom model is part of Axioma’s comprehensive suite of portfolio construction, optimization and risk solutions. Top-line benchmark risk estimates using the new model are now available through our Equity Risk Monitors.