Analytics Products

Axioma Factor-Based Fixed Income Risk Model

Construct investment portfolios with better top down risk analysis

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.

Key Benefits

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.

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Axioma Factor-Based Fixed Income Risk Model

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