Axioma upgrades custom risk modeling with fundamental factor-based data

Source: Axioma

Axioma and Credit Suisse today announced that Axioma is now integrating and redistributing HOLT's fundamental-factor data within Axioma Portfolio Analytics, the company's expanding set of portfolio risk and return analytics.

The partnership strengthens the capabilities of Axioma Portfolio Analytics, delivers increased value to mutual clients of Axioma and HOLT, and opens a channel to new customers for HOLT's investment products and services.

"We are delighted to be partnering with Credit Suisse's HOLT business," said Chris Canova, Vice President for Product Management and Strategy." Like Axioma, HOLT is dedicated to giving clients the best perspectives for making better investment decisions. We are confident in the value of leveraging HOLT's fundamental data in a quantitative framework, and enabling clients to benefit from that data using Axioma's industry-leading analytics."

"We are excited to partner with Axioma," said Adam Steffanus, Director and US Head of HOLT Investment Strategy. "HOLT offers a differentiated framework to fundamental portfolio managers and integrating HOLT's fundamental factor data within the Axioma platform will enhance the investment processes of our mutual clients. As HOLT grows in the quantitative space, the Axioma partnership will make HOLT's framework more accessible to our most important clients."

Axioma Portfolio Analytics enables users to bring more information and insights to bear on their investment process, resulting in improved understanding of the sources of portfolio return and improved control of risk exposures.

HOLT data provides an objective view of over 20,000 companies worldwide. By examining accounting information, converting it to cash and then valuing that cash, HOLT's methodology provides unique insights into a company's corporate capital structure and identifies key drivers of value that other methodologies may overlook. HOLT's tools are widely used to assess corporate performance, to generate new investment ideas, and to evaluate current investments.

The HOLT fundamental-factor data have been integrated into the Performance Attribution module of Axioma Portfolio Analytics, and into the Axioma Risk Model Machine, the combination of Axioma software and Axioma risk models that enables users to build custom risk models tailored to their own investment process. The data consists of monthly history from January 1982 for US securities, and from January 1997 for global and regional securities.

As an immediate result of the agreement, mutual customers of Axioma and HOLT now have the ability to use the HOLT factors to produce custom risk models with the Risk Model Machine, and to leverage those models for performance attribution, risk analysis and portfolio construction.

"For those managers who rely on HOLT data as a critical component within their investment process, the integration of these factors within Axioma Portfolio represents a compelling solution to efficiently produce and leverage custom risk models for risk reporting and performance attribution. We continue to see the growing number of asset managers we work with recognize the value and importance of incorporating tailored quantitative tools into their overall portfolio management and risk-management processes," said Canova. 

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