Axioma, the leading global provider of enterprise risk management, portfolio management and regulatory reporting solutions, announces the release of its new APAC (AP4) and APAC ex-Japan (APexJP4) Risk Models – the most recent update to the firm’s next-generation Equity Factor Risk Model suite.
Axioma’s Asia Pacific models follow the recent releases of its Emerging Market (AXEM4) and China (AXCN4) Risk Models, providing equity investors with deep, actionable insights into how to best manage risk and returns across major global growth markets.
“2018 was a wake-up call for Asian focused investors, with the impact of risk-on / risk-off behaviour in an uncertain global environment a significant headwind to return expectations,” said Joel Coverdale, Managing Director, Asia Pacific, at Axioma. “We want to provide every investor with the best possible insights to know both where they stand and where they might be headed. A best-in-class risk management approach is critical for success.”
The updated APAC (and APAC ex-Japan) Risk Models allow for even greater risk attribution precision covering over 26,000 active securities across 17 markets in Asia Pacific with long-term historical pricing data. The 4th generation models include several new fundamental factors such as Dividend Yield, Earnings Yield, and Profitability that will also allow investors to construct portfolios along with the same fundamental factors that are used to distinguish companies in developed markets. Significant enhancements have been made in several areas, including:
• New Style Factors: Market Sensitivity, Profitability, Dividend Yield and Earnings Yield;
• Improved Factors: More stable exposures, enhanced definitions and IPO exposures;
• Methodology Improvements: Precise treatment of extreme and missing data, new currency model, as well as a new returns timing model;
• 2018 GICS® based industry factors: Greater granularity in industry structure with well-tuned attribution of risk and return for both sector and industry-focused ETFs.
“Asian markets are maturing and new smart beta strategies have emerged,” said Olivier d’Assier, Head of Applied Research APAC. “Axioma is responding by adding new style factors to its Asian models allowing investors to more accurately control the risks they take in those strategies.”
The ongoing enhancements to Axioma’s risk model suite closely support its overall aim to bring flexible, seamless investment risk management solutions to portfolio managers and risk professionals across global markets.