With fundamental and statistical variants for country, region and global models, at varying time horizons, along with macroeconomic models – all updated daily – you get multiple views of risk on a timely basis. Plus, our patented, innovative empowered by proprietary methodologies for issuer classification and modeling issuer spread returns, the Axioma Factor-Based Fixed Income Risk Model enables portfolio and risk managers to construct investment portfolios with better control for tracking error and to rigorously manage exposure to investment style factors.
Meaningful risk factors
Portfolio risk and performance attribution can be derived from statistically significant factors including sector, quality and style
Style factors as risk model components
Risk premia returns for style-tilted portfolios can be captured by systematic factors in the risk model
Superior specific risk estimation
Granular bond-level specific risk from issuer spread curves are combined with issuer specific risk derived from our parsimonious factor model
Risk differentiation across spread regimes
Beyond DTS, risk is further differentiated across four spread quality categories
Model built on issuer spread curves
Factor return estimation based on over 12,000 issuer-specific curves and over 6,000 cluster curves
Proprietary issuer classification system
Full entity mapping ensures correlated entities are grouped together.