News & Research

The recent launch of the STOXX U.S. Equity Factor Index, which underlies the iShares U.S. Equity Factor ETF (LRGF), highlights the real-world performance benefits of a factor-based approach that seeks to manage risk relative to a capitalization-weighted benchmark.

This whitepaper evaluates two thematic investment strategies – STOXX® Global Ageing Population (“Ageing Population”) and STOXX® Global Millennials (“Millennials”) – which seek exposure to these two distinct generations.

In this paper we analyzed four tech-oriented thematic indices’ performance and risk through a factor lens leveraging Axioma’s Worldwide Fundamental Factor Model, and also compared their characteristics to the broad market indices.

Factor investing has gained popularity in recent years and large asset flows have been recorded into so-called smart beta and risk premia themed products.

Factor investing is an investment strategy in which securities are chosen based on certain characteristics with the goal of achieving a given investment outcome.

STOXX Factor Indices are designed for investors who want to reap factor premia while avoiding the noise that pervades many other such products that allow undesired exposures.

During turbulent risk environments, it is imperative that fundamental portfolio managers learn to understand factor exposures to know what is driving their portfolios’ returns.

The STOXX Factor Index suite is comprised of five single-factor indices and a multifactor index engineered to deliver the excess returns associated with each factor using a diversified index of securities with carefully managed exposure, liquidity and risk characteristics.

2019 was a remarkable year, with benchmarks around the world climbing to new records, while volatility plunged. Both emerging and developed markets shared in the overperformance, with all components of risk falling for both markets. However, style factors saw mixed results, with few reporting outsized returns for the quarter or year.

Many quant managers are having a tough go of it this year. While one might blame factors in general, their returns do not tell the whole story (or even the bulk of the story).

In this paper, we take a look at how minimum variance performed vis-à-vis its core market counterpart during nine recent geopolitical risk events. The nature of these events is that they tend to push correlations towards 1.0.

In this paper, we use the backtester capabilities of the Axioma Portfolio Optimizer to investigate the maximum capacity of a smart beta strategy, based on the Profitability factor in the Asia ex-Japan equity market.