Press Releases — March 1, 2018

Axioma Rolls Out US Small Cap Risk Model

March 1, 2018 – Axioma, the leading provider of enterprise risk management, portfolio management, and regulatory reporting solutions, has added a new US Small Cap Risk Model (AXUSSC4) to its Equity Factor Risk Model Suite. The US Small Cap model uses an estimation universe and computes style factors that are aligned with a small cap investment strategy.

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“At Axioma, we’re committed to providing our clients with highly specialized and customizable solutions geared toward their particular opportunity sets,” said Alessandro Michelini, Managing Director, Global Head of Portfolio Solutions at Axioma. “The US Small Cap model was built to help those managing small cap mandates better streamline their investment process and construct better portfolios, while also providing a more detailed and transparent view of their exposures.”

AXUSSC4 matches the investment community’s demand for a more specific, optimized model dedicated to the small cap universe. Distinct from Axioma’s US4 model, which covers all-cap, the US Small Cap model is completely customized to the small cap universe.

Key features of AXUSSC4 include:

  • Tailored Style Factor Structure for a Small Cap Universe: enhanced factor definitions, including Market Sensitivity and Volatility Factors based on the small cap market, and a revised Liquidity factor.
  • Estimation Universe: employs dynamic criteria to identify stocks on NYSE and NASDAQ with sufficient size and market liquidity for a small cap investment strategy.
  • Model Variants: offers medium and short-term horizon fundamental and statistical models, enabling managers to model their risk over different time horizons and investment approaches.

“Axioma regularly reviews and updates its models to continue to provide the market with best-in-class solutions,” said Chris Canova, Senior Managing Director, Global Product Specialists at Axioma. “The US Small Cap Risk Model builds upon our commitment to constant innovation and offering our clients the most comprehensive suite of products available in the market.”

AXUSSC4 was developed and piloted in close collaboration with a group of Axioma’s clients across firm types and investment strategies. Axioma also plans to release new versions of its single country and regional models.