About 82 results found
The cost of implementing factor strategies appears at only a fraction of the premia they generate, suggesting they can take significant inflows before reaching full capacity.
The launch of the STOXX factor indices has enabled us to do more research into a variety of factor-related topics.
Over the last five years, the style factor returns in Axioma’s Asia ex-Japan fundamental model for Profitability really stand out.
In this paper, we use the backtester capabilities of the Axioma Portfolio Optimizer to investigate the maximum capacity of a smart beta strategy, based on the Profitability factor in the Asia ex-Japan equity market.
Global index vendors have spent much attention in recent years on the possible inclusion of Chinese A Shares in their investible benchmarks.
Axioma and CS HOLT have collaborated to create a smart beta index --- the Credit Suisse HOLT © Global Multi-Factor Portfolio --- that united the stock selection prowess of CS HOLT with Axioma’s portfolio construction and risk model expertise. In this paper, we highlight three key principles that drove the process to create this portfolio.
Many Smart Beta ETFs are bought with the expectation of long-term market outperformance.
We evaluate the investment performance of ESG, paying particular attention to recent performance and highlighting the difference between ESG scores that overlap with traditional risk model factors and those that don’t. Our analysis indicates that, in general, increasing exposure to ESG rarely underperforms the market, and often outperforms the market, especially during the last few years.
Do investors have the right tools to forecast risk today? In an interview with ETF.com, Axioma’s CEO, Sebastian Ceria, addresses this question and others on investors’ minds.
STOXX has been recognized as 2018’s “Best Smart Beta Index Provider, Asia-Pacific” by Structured Retail Products (SRP). This is the first time STOXX Ltd. has received this award. The awards ceremony was held in Singapore.
The term “Smart Beta” was developed by marketing in the last decade to describe what is essentially a quantitative strategy to capture a well-documented factor premium.
In “An Aussie sense of style”, Axioma’s latest paper on smart beta products, we take a look at the inherent compromise between delivering target factor purity versus maximizing factor exposure.
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