Whitepapers

This study explores the impact of the reclassification, from a risk-oriented perspective, on the STOXX® Global 1800 and STOXX® Europe 600 indices. We focus our analysis on the highest two tiers of the classification: Industry and Supersectors.

Style-factor risk premia have been well-documented (and harvested) in the equity world for decades but have proven far more elusive for bonds. The new Axioma Factor-based Fixed Income Model (FFIM) demonstrates that style factors not only do exist in credit, but that they also carry discernible risk premia, which, in turn, can be utilized for systematic, smart-beta investing.

The global equity market recovery continued in the third quarter, as benchmark risk slid. But not all components of risk participated in the decline, and volatility remained much higher than it was when the year started.

Understanding changes in risk estimates can be key, especially in times of crisis when volatilities spike and correlations point in the same direction, eliminating the diversification that was supposed to protect a portfolio.

In this note, we take a look at the methodology behind the index, explore how its composition has changed over time and assess the impact of the 2020 annual index review.

Low Volatility strategies have a deservedly good reputation for offering investors equity-like returns with less risk.

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.

In this paper, we analyze the performance of the EURO STOXX 50® ESG Index spanning the turbulent market conditions caused by the COVID-19 pandemic.

In this paper, we analyze the performance of some of the flagship ESG-X indices underlying exchange-traded derivatives (ETDs) and exchange-traded funds (ETFs).

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

For both quantitative and fundamental managers, alpha calibration is a critical part of the optimal portfolio construction process – but are you doing it right?

The Index Effect is the phenomenon where stocks that are added to an index experience positive excess returns in the days before being officially added.