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Most Recent Analytics
Analytics | Portfolio Risk Management
Another tech bubble about to burst? (Yes, and this one could be even worse…)
Another tech bubble may be about to burst, triggering a US recession. There are multiple similarities between the current tech bubble and the dot-com bubble. This time, however, the Fed cannot leverage interest-rate cuts to put the brakes on a market decline, due to the current record-high inflation combined with low interest rates.
Analytics | Portfolio Risk Management
Hands-on reverse stress testing: A practical guide to reverse stress test a portfolio
How badly could a portfolio get hurt? What scenario would be responsible for such a loss? What are the main risk drivers in this scenario and how plausible would such a scenario be? These questions are all part of what is commonly called reverse stress testing. This paper aims to illustrate how one could follow a very pragmatic end-to-end workflow to answer these questions.
Historically Canadian equity managers have had difficulty accurately modeling their investment universe across the US and Canada. North America regional risk models used to construct portfolios just aren’t able to capture the nuances of both markets and are dominated by the US. That’s why we created the Axioma North America Linked Model.
In risk management a lot of focus and attention is (rightly) put on models and methodologies used to compute ex-ante risk measures. And in the context of a multi-asset class universe which is vast by nature, perfect data (market data, terms and conditions provided by the user) and bug-free algorithms are not always possible. Therefore, one of the key challenges for risk managers is to ensure that any risk analytic produced is sound and reliable.
Analytics | Portfolio Risk Management
Inflation and Its Impact on the Stock-Bond Correlation: What history can teach us about their future relationship
In this paper, we examine the historical interaction of equity and bond-market returns—both in the recent past and over the last 70 years—in an effort to identify the main triggers of shifts in their relative directions.
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.
Using our portfolio construction tools combined with Redpoint’s forecasted dividend yield, alpha signal and local market expertise, we developed an optimized income methodology.
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.
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.
The best risk model is the one most closely aligned to your strategy. In some cases, using a single integrated regional model may help you achieve better results. We offer a range of Equity Factor Risk Models – US, Developed Markets ex-US, and Emerging Markets – connected as a Linked Model for more flexible and tailored risk forecasting and attribution.
Analytics | Index | ESG & Sustainability
Net Zero: Measuring the impact of your investments (Savvy Investor Special Report, 2021)
This Special Report discusses the increasing importance of sustainability for investors. It also outlines how investors are able to the measure the carbon footprint of their portfolios, and ensure they meet their climate goals.
Analytics | Portfolio Risk Management
To hedge or not to hedge: Using a stress test to answer the question
Foreign-exchange rates can be very volatile. Investors looking to bet on markets outside their own base currency must decide whether to embrace or mitigate the additional risk. In this paper, we propose a stress-testing framework that can help investors with the decision whether “to hedge or not to hedge”, given their assumptions on expected returns and cross-asset correlations.