Axioma risk model handbook pdf series#

Available as a suite of analytic calculation tools coupled with market data and. Measure sensitivities, assess risk characteristics and stress test at the portfolio, factor, classification, asset level or any custom dimension through Axioma Risk. One multi-factor model that can be used to measure portfolio risk is the Barra Risk Factor Analysis model. Cloud-based, scalable and flexible, multi-asset analytics and market risk management. Factor models can be broken down into single-factor and multiple-factor models. commercially available risk models and we report, over the past 7-9 years, that there are several risk models capable of producing highly statistically significant Active and Specific Returns. Since a few important factors can explain the risk and return expected on investment to a large degree, factor models can be used to evaluate how much of a portfolio's return is attributable to each common factor exposure.

Axioma has unveiled a new tool which will allow clients to construct customized risk models according to their own investment processes. generation of indices that leverage Axiomas portfolio optimizer and risk model to provide controlled exposure to S&P DJI equity factor scores. Using a factor model, the return-generating process for a security is driven by the presence of the various common fundamental factors and the asset's unique sensitivities to each factor. Axioma incorporated client feedback in the development of the new US equity models, which include the following updates. Stochastic Programming, Handbook in Operations Research and Management Science.

Axioma risk model handbook pdf series#

One method that a portfolio manager might use to measure investment risk is evaluating the impact of a series of broad factors on the performance of various assets or securities. Russell-Axioma Factor Indexes (Long-Only): Construction and Methodology.

Barra Risk Factor Analysis incorporates over 40 data metrics, includingВ earnings growth, share turnover,В and senior debt rating.

The Barra Risk Factor Analysis is a multi-factor model, created by Barra Inc.,В that measures the overall risk associated with a security, relative to the market.