NEW YORK, October 1, 2020 – Qontigo, an investment intelligence leader and provider of best-of-breed analytics and world-class indices, has announced the release of the Axioma Developed Markets ex-US Equity Factor Risk Model (AXDMxUS4) as part of its Equity Factor Risk Model Suite. This newly launched model allows investors to capture factor exposures and risks in developed markets without the weight of the US and results in superior alignment with investors’ unique strategies.
“Our new model is wired to work in parallel with how managers construct their portfolios,” says Alessandro Michelini, Managing Director of Front-Office Solutions at Qontigo. “The additional flexibility caters to unique mandates rather than offering an overarching view of risk from a global model.”
The model covers 20,000 securities from 24 markets and includes 7 market-based and 6 fundamental style factors – estimated daily – to provide deeper insights into short and medium-horizon risk.
“By eliminating the skew caused by the dominance of the US market as well as characteristics unique to emerging markets, the new model offers managers the ability to build out strategies using a model that better reflects the risks of their investment mandates,” said Melissa Brown, Managing Director of Applied Research at Qontigo. “Managers will have better understanding of their factor exposures and be able to more accurately pinpoint portfolio risk and improve the risk-return tradeoff.”
The estimation universe for the model is comprised of over 4,600 securities with daily historical coverage from 1997 onwards.
AXDMxUS4 is part of the Axioma Equity Factor Risk Model Suite comprised of global, regional and country models – available in statistical and fundamental variants. The model can be accessed in a flat file format for use within third party applications, and is also fully integrated into Qontigo’s portfolio construction, strategy testing, risk and performance attribution tools.
AXDMxUS4 can also be leveraged in Axioma Risk Model MachineTM (RMM), a unique tool allowing managers to create custom risk models combining Qontigo’s research and model engines – including the ability to generate linked models. With extended customization capabilities, this feature allows maximum flexibility and alignment to specific investment processes.
Qontigo is a financial intelligence innovator and a leader in the modernization of investment management, from risk to return. The combination of the group’s world-class indices and best-of-breed analytics, with its technological expertise and customer-driven innovation, enables its clients to achieve competitive advantage in a rapidly changing marketplace. Qontigo’s global client base includes the world’s largest financial products issuers, capital owners and asset managers. Created in 2019 through the combination of Axioma, DAX and STOXX, Qontigo is part of Deutsche Börse Group, headquartered in Eschborn with key locations in New York, Zug and London.