NEW YORK -  March 2, 2010 - Macquarie Group, a global provider of banking, financial, advisory, investment and funds management services and Axioma, Inc., a leading provider of decision support, risk analysis and portfolio rebalanced tools today announced the latest events in their on-going series of joint research seminars.  The events will be hosted in Sydney on March 18th and Melbourne, March 19th. Read more…

The underestimation of risk of optimized portfolios is a consistent criticism about risk models. Quantitative portfolio managers have historically used a variety of ad hoc techniques to overcome this issue in their investment processes. In this paper, we construct a theory explaining why risk models underestimate the risk of optimized portfolios. We show that the problem is not necessarily with a risk model, but is rather the interaction of expected returns, constraints, and a risk model in an optimizer. We develop an optimization technique that incorporates a dynamic Alpha Alignment Factor (AAF) into the factor risk model during the optimization process. Using actual portfolio manager backtests, we illustrate both how pervasive the underestimation problem can be and the effectiveness of the proposed AAF in correcting the bias of the risk estimates of optimized portfolios.

Axioma Research Paper No. 015

NEW YORK, DECEMBER 15, 2009 – Russell Investments, which owns the most widely used equity benchmarks for institutional investment products, and Axioma, Inc., a leading provider of advanced tools for portfolio optimization and risk analysis, have agreed to create an innovative series of factor-based indexes to measure stock performance in various market segments. The Russell-Axioma Factor Indexes will feature a broad range of products to track the common risk factors used in the Axioma Robust Risk Models™.
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NEW YORK – November 9, 2009 - Axioma, Inc., a leading provider of decision support, risk analysis and portfolio rebalancing tools for the financial services industry, today announced the launch of new single-country risk models for the UK and Japan. These two new models are the latest additions to the Axioma Robust Risk Model ™ suite. The new models incorporate advanced methodology consistent with Axioma’s other single-country and regional risk models.
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New York - October 16, 2009 - Axioma, Inc. a leading provider of decision support, risk analysis and portfolio rebalancing tools today announced that CEO Sebastian Ceria will speak at Macquarie’s Eduction Edge event in London on November 11, 2009.
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Constraints are now an integral part of the portfolio construction process. With constraints comes the challenge of understanding how they cause the optimal portfolios to deviate from a trade-off dictated by the forecasts of risk and return. We describe the theory and application of a technique able to quantify the impact of individual constraints in several different ways. This includes decomposing the difference between the optimal constrained and unconstrained portfolios and the difference between alphas and implied alphas as described in earlier work by Grinold and others. Furthermore, we introduce a new technique that applies these decompositions on an ex-post basis, providing on understanding of how constraints actually impact realized risk and return.

Axioma Research Paper No. 014

October 2009 Issue of Axioma Advisor Now Available

NEW YORK – September 30, 2009 –Axioma, Inc. a leading provider of decision support, risk analysis and portfolio rebalancing tools, today announced the release of the new Axioma Robust Risk Model™ for Australia. The new offering features both fundamental and statistical factor models and daily updates of all risk model components.
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NEW YORK - September 22, 2009 - Macquarie Group, a global provider of banking, financial, advisory, investment and funds management services and Axioma, Inc. a leading provider of decision support, risk analysis and portfolio rebalancing tools today announced two new events in their on-going series of joint research seminars. The events will be hosted in Sydney on September 30th and Melbourne, October 1st.
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Models Now Include Expanded History and Coverage

New York - September 15, 2009 - Today Axioma announced the release of extended daily history for its World Wide and European risk models. This enhancement provides clients with full daily history going back to January, 1999 for both the fundamental and statistical models. With the addition of this historical data Axioma improves both the depth and breadth of its daily risk model data, giving clients complete flexibility to evaluate portfolio strategies over longer time horizons at any calendar interval. The net result is more robust risk models that allow clients to construct better risk adjusted portfolios.
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