News & Research

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.

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

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.

In this paper we extend our analysis of how the construction of a factor portfolio, even using the same underlying factor definition, can have substantial impact on the returns the factor generates.

When we refer to factor returns, we mean the return to a long-short portfolio with unit exposure to the factor in question, and no exposure to any other model factor. The portfolio encompasses the model’s investment universe, is rebalanced daily, and has hundreds or thousands of small positions.

It has been a tough couple months for many managers, especially hedge funds. Some have speculated that there has been a large unwinding of crowded risk-factor positions. We do not see that in our factor returns, and instead propose a few other possible culprits.