Whitepaper - May 2018

When Size Does Matter

In this paper, Olivier d’Assier evaluates the use of a custom small-cap risk model built for this segment of the Japanese market using the Risk Model Machine (RMM) module in Axioma Portfolio Analytics. Do risk and performance attributions differ from the standard Japan risk model built on the full universe of stocks? What are, if any, the advantages delivered by the custom model for strategies focused on this market segment? Given these results, should small-cap managers include a custom risk model in their investment process?


Olivier d'Assier

Senior Principal, Applied Research - APAC