Axioma, a leading provider of decision support, risk analysis and portfolio rebalancing tools, today introduced an enhanced suite of multi-country risk models featuring an improved methodology that better captures global sources of risk.
"Axioma's new multi-country risk models better capture the nuances of risk across geographic markets by recognizing the linkages between securities trading in multiple locales and the interdependence of trading activity in different time zones," said Sebastian Ceria, Chief Executive Officer of Axioma. "These enhancements, combined with Axioma's choice of multiple models, daily risk updates, existing methodological enhancements and true transparency, deliver unparalleled capabilities to global portfolio managers."
Axioma's new multi-country risk models include:
* A proprietary "returns-timing" adjustment methodology to account for asynchronous trading between markets,
* Special modeling of depository receipts, foreign listings, and other complex instruments,
* New standalone model of currency risk using statistical factor analysis,
* Measures to address residual structure in certain markets not captured by global factors
* A separate currency component in statistical factor model
* Three new style factors based on company fundamentals: Value, Growth and Leverage
The new methodology is incorporated into Axioma's World-Wide, Emerging Markets and Europe risk models.
"Through the ongoing dialog we have with our clients, it became evident that there was a clear need for risk models that provide a better view of global risk," said Ceria. "Thanks to those constructive discussions, our new multi-country risk models are leading the way to meet the constantly changing needs of our clients."