Axioma Equity Factor Risk Models
For portfolio construction, performance attribution and risk management
Flexible and intuitive equity risk models backed by proprietary research
Assess your risk exposures using fundamental style, industry and
The global, regional and single-country equity risk factor models have a deep daily history with historical coverage since 1997 (1982 for US models) with deliverables that include:
- A macro factor library: To analyze and stress test the impact of macro events on a portfolio.
- Model descriptors: To analyze the exposures to descriptors used to create the model, to create custom risk models, tilt portfolios and to hedge.
- Pure Factor Portfolios (PFP): To track factor performance, model portfolios for factor baskets, evaluate hedges and decompose intraday asset PnL.
Featured equity risk models:
Linked ModelS
Axioma Worldwide & North American Equity Linked Factor Risk Models
Ensure optimal alignment to your region-specific mandates
Macro Models
Axioma Worldwide Macroeconomic Projection Equity Factor Risk Model
Decompose risk into factors driven by interest rate, inflation, credit and commodity risk
Trading Model
Axioma US Equity Factor Risk Model – Trading Horizon
Better capture the short-term impact of rapidly changing market conditions
US5.1 MODEL
Axioma US Equity Factor Risk Model
Benefit from the latest academic research on the effectiveness of factors
Seamless integration
Axioma Equity Factor Risk Models are provided as flat files that can be used with any third-party system or with our portfolio construction, performance attribution and risk management solutions. And, with Axioma Risk Model Machine, you can tailor your equity risk models by selecting your own factor definitions, horizons and estimation universe.
From actively managed to long/short to index-tracking portfolios, our equity factor models can be used for:
- Factor investing: Achieve your factor risk premia
- Risk attribution: Slice and dice risk to identify sources and validate risk-reward profile
- Decision support: Provide pre-trade analytics and what-if scenarios
- Signal generation: Use risk factor exposures and returns as inputs in the alpha process
- Risk control and hedging: Identify unintended bets and manage hedging books
- Risk budgeting: Seamlessly implement your risk budget for a clear risk-return profile
Factsheet
Axioma Equity Factor Risk Models
Fundamental and statistical factor risk models with a deep daily history provide comprehensive analysis and flexibility for risk model users.
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