This weekly report will highlight current trends in market and portfolio risk and the resulting impact on a multi-asset class portfolio.

The rapid rise of multi-asset class investing has added significant complexity to effective risk management,” said Ian Webster, chief operating officer at Axioma. “With this in mind, we launched the MAC Risk Monitor to help portfolio managers stay abreast of the factors influencing their ability to drive performance while also managing to an acceptable level of risk.”

The MAC Risk Monitor provides recent multi-asset factor correlations, as well as volatilities, treasury curves, and yield, spread and FX histories. It also includes portfolio risk analysis and stress tests designed to determine the impact of potential market disruptions.

The report is divided into two sections. The first contains market drivers and risk factors and looks at correlations between and within asset classes including equity indices, treasury instruments, corporate bond spreads, currency exchange rates, and commodities. The second section contains an impact analysis of these drivers and factors on a global multi-asset class portfolio. It highlights both standalone volatilities and risk contributions by asset class, over short and longer-term horizons.

The MAC Risk Monitor broadens and complements Axioma’s existing Equity Risk Monitor reports, which evaluate risk in regional and country-specific equity markets. The MAC Risk Monitor, updated every Tuesday, is based on latest data available as of the previous Friday. The reports can be downloaded from the Insights section of the Axioma website. Each update of the report will be accompanied by a Weekly Highlights email, and subscribers can opt in to receive it.

Axioma believes that the proliferation of multi-asset class portfolios will continue, as managers adopt more innovative strategies as they seek to provide superior investment performance. This, in turn, increases the need to evaluate the risk and ensure the appropriate risk-return tradeoff in these portfolios. In anticipation of this evolving landscape, Axioma launched Axioma Risk™ in 2013. Axioma Risk is the firm’s cloud-based multi-asset class risk management platform that provides organizations with a single view of risk across the front, middle and back office. This unified perspective on risk empowers firms to pursue proprietary strategies that yield better investment performance, while also managing investors’ and regulators’ demands for more transparent risk management and risk reporting.

Axioma Risk has been implemented by leading financial firms globally, including BNY Mellon’s HedgeMark, Skandinaviska Enskilda Banken AB (SEB) and Sycomore Asset Management. It continues to gain recognition in the industry as more and more firms demand flexible, responsive risk solutions that can keep pace with the innovation reshaping asset management.