Axioma Launches Robust Risk Model
Offering True Methodological Transparency,
Access to Advanced Methodologies and Daily Risk Updates
NEW YORK, Oct. 30, 2006—Axioma Inc., a leading global provider of risk analysis and portfolio rebalancing tools for the financial services industry, today announced the launch of its Robust Risk Model™ for the U.S. equity market.
Axioma acquired the risk model and performance attribution components of Goldman Sachs Asset Management’s Portfolio Analytics and Construction Environment (PACE) in 2005.
“This acquisition provided Axioma with a proven, thoroughly researched foundation on which to build its new Robust Risk Model. This model brings three significant innovations to the marketplace: methodological transparency, the patent-pending Axioma Alpha Factor™ and fully updated daily risk estimates,” said Sebastian Ceria, chief executive officer of Axioma. “No other risk models on the market today offer this combination of state-of-the-art features designed to satisfy the needs of such a broad range of clients, from quantitative to fundamental.”
The transparency of Axioma’s risk model provides a clear definition of both the model risk factors and how they are computed. This departure from conventional ‘black box’ approaches gives clients greater insight into their sources of risk because the model factors are known precisely.
Axioma’s risk model also incorporates the Axioma Alpha Factor™, Axioma’s patent-pending approach that significantly improves risk forecasts of factor risk models. Using the Axioma Alpha Factor mitigates the effects of risk underestimation, a common problem that occurs when risk models are used to build optimized portfolios.
“While the transparency of our risk model allows clients to ‘see’ the factors that are influencing returns, the Axioma Alpha Factor improves the quality of risk forecasts by including an additional factor that is dependent on the client’s portfolio and investment strategy,” said Daniel Cashion, president of Axioma. “We are confident that Axioma’s Alpha Factor-equipped Robust Risk Model provides superior risk estimates under the broadest range of market conditions.”
Axioma’s Robust Risk Model is enhanced by daily estimation of all risk estimates. Most risk models offered in the marketplace are estimated on a monthly basis, resulting in unintuitive and hard-to-explain jumps in predicted volatility each month. Noted Cashion, “If portfolio performance is monitored daily, risk should be, too. Daily updates result in smoother and timelier estimates of portfolio risk.”
Axioma’s Robust Risk Model seamlessly integrates into Axioma Portfolio™, the company’s innovative risk analysis and portfolio rebalancing software. While Axioma’s commitment to open-platform flexibility allows any risk model to be used in conjunction with Axioma Portfolio, the use of Axioma’s Robust Risk Model greatly simplifies the implementation process and improves the overall performance of the investment strategy.
The launch of Axioma’s Robust Risk Model is a major milestone for the company. To support its rapid growth, Axioma recently relocated to new headquarters in New York’s Wall Street area. Axioma also has offices in Atlanta, Hong Kong, San Francisco, and Singapore.
About Axioma
Axioma, Inc. develops and markets innovative risk analysis, portfolio rebalancing and performance attribution products for the financial services industry. Founded in 1998 and headquartered in New York, Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency.
For more information about Axioma, please contact Reid Gearhart at 917-846-1055, Ellen Kiernan at 212-991-4503, or visit the company's Web site at www.axiomainc.com.
“Robust Risk Model”, “Axioma Alpha Factor”, and “Axioma Portfolio” are trademarks of Axioma, Inc.
