Axioma, a leading provider of enterprise market risk analytics and portfolio construction solutions, has released the latest version of its suite of Worldwide Equity Risk Models™ (“WW4”), which consists of short- and medium-horizon fundamental and statistical models.
Key enhancements include new factors, enhanced methodologies and model customization options via Risk Model Machine™ and the WW4 Factor Library™.
“A key challenge in risk analytics today is the ability to build risk models that provide an accurate depiction of risk for an expanding universe of unique investment strategies, processes, and factors,” said Chris Canova, Senior Managing Director, Global Product Specialists, Axioma. “The enhancements to our flagship Worldwide Equity Risk Models deliver an intuitive, widely-relevant standard solution with sophisticated customization options unmatched by other providers.”
WW4 balances the investment community’s need for a robust standard solution with customization options via Axioma’s Risk Model Machine, the only tool on the market for tuning pre-packaged models to a portfolio manager’s specific investment process.
The flexibility of WW4 brings wide appeal to Axioma’s model regardless of firm type or investment strategy.
Key updates in WW4 include:
● New factors: Introduction of new factors in response to investment trends, such as the rising allocation towards smart beta strategies, offer managers a more granular estimate of risk and return. Updates include new factors for market sensitivity (beta); profitability; dividend yield; and earnings yield.
● Methodology Enhancements: Fine-tuned methodology related to the treatment of extreme and missing data; returns timing due to global market asynchronicity; and the modeling of linked assets, such as ADRs and cross listings, as well as a new currency model.
● Customization: Clients can use the standard WW4 models as the foundation with Risk Model Machine and the new WW4 Factor Library to build custom risk models that better align with their unique investment process. Clients can also use the Factor Library to perform exposure analysis and create custom risk analytics.
Axioma regularly reviews and updates its models to continue to provide the market with best-in-class solutions. WW4 was designed and piloted in close collaboration with a group of Axioma’s clients across various firm types and investment strategies. The enhancements made were in direct response to client requests, as well as investment trends and changing industry structures.