Axioma

Axioma Advisor eNewsletter - September 2010

admin — Wed, 08 Sep 2010 20:15:28 +0000

September 2010 Issue of Axioma Advisor Now Available

Pushing the Frontier (literally) with the Alpha Alignment Factor

admin — Tue, 07 Sep 2010 20:22:34 +0000

Construction of optimized portfolios entails complex interaction between three key entities, namely, the risk factors, the alpha factors and the constraints. The problems that arise due to mutual misalignment between these three entities are collectively referred to as Factor Alignment Problems (FAP). Examples of FAP include risk-underestimation of optimized portfolios, undesirable exposures to factors with hidden and unaccounted systematic risk, consistent failure in achieving ex-ante performance targets, and inability to harvest high quality alphas into above-average IR. In this paper, we give a detailed analysis of FAP and discuss solution approaches based on augmenting the user risk model with a single additional factor y. For the case of unconstrained MVO problems, we develop a generic analytical framework to analyze the ex-post utility function of the corresponding optimal portfolios, derive a closed form expression of the optimal factor volatility value and compare the solutions for various choices of y culminating with a closed form expression for the optimal choice of y. Ultimately, we show how the Alpha Alignment Factor (AAF) approach emerges as a natural and effective remedy to FAP. AAF not only corrects for risk underestimation bias of optimal portfolios but also pushes the ex-post efficient frontier upwards thereby empowering a PM to access portfolios that lie above the traditional risk-return frontier.

Axioma Research Paper No. 022

Axioma to Present Research on Managing Market Asynchronicity in Daily Risk Models at Macquarie’s Annual Global Quant Conference

admin — Thu, 01 Jul 2010 14:34:40 +0000

NEW YORK, July 1, 2010—Axioma, Inc., a leading provider of decision support, risk and performance solutions for portfolio analysis and rebalancing, announced that it will be a presenter at Macquarie’s annual Global Quant Conference . The event will be held July 29-30 2010 at the Mandarin Oriental Hotel in Hong Kong.

Axioma will present a talk entitled, “Managing Market Asynchronicity in Daily Data.” The presentation is based on research presented at Axioma’s recent research seminar series in the US and London, and incorporated in Axioma’s Global, European and Emerging Markets risk models.

“Until recently, using daily data in a multi-country risk model called for a compromise between stability and responsiveness. Our latest research into returns timing has enabled us to build stable models based on daily data, which account for differing market closing times and corrects model factor correlations accordingly.” said Olivier d’Assier, Axioma’s Managing Director for Europe and Asia. “We are excited to be participating in what promises to be another outstanding Macquarie event.”

More information about the event, please review the agenda here agenda or visit the Macquarie corporate events web page.

About Axioma
Axioma, Inc. develops and markets innovative risk and performance solutions for portfolio analysis and rebalancing, for the financial services industry. Founded in 1998 and headquartered in New York with additional offices in Atlanta, San Francisco, London, Hong Kong, and Singapore, Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency. For more information about Axioma, please contact Ellen Kiernan at 212.991.4503, or visit the company’s website.

Axioma Launches Enhanced Multi-Country Risk Models

admin — Tue, 04 May 2010 13:40:28 +0000

Axioma Launches Enhanced Multi-Country Risk Models

New Methodology Captures Risk Better Across Geographic Markets

NEW YORK, May 4, 2010—Axioma, Inc., a leading provider of decision support, risk analysis and portfolio rebalancing tools, today introduced an enhanced suite of multi-country risk models featuring an improved methodology that better captures global sources of risk.

“Axioma’s new multi-country risk models better capture the nuances of risk across geographic markets by recognizing the linkages between securities trading in multiple locales and the interdependence of trading activity in different time zones,” said Sebastian Ceria, Chief Executive Officer of Axioma. “These enhancements, combined with Axioma’s choice of multiple models, daily risk updates, existing methodological enhancements and true transparency, deliver unparalleled capabilities to global portfolio managers.”

Axioma’s new multi-country risk models include:
• A proprietary “returns-timing” adjustment methodology to account for asynchronous trading between markets,
• Special modeling of depository receipts, foreign listings, and other complex instruments,
• New standalone model of currency risk using statistical factor analysis,
• Measures to address residual structure in certain markets not captured by global factors
• A separate currency component in the statistical factor model
• Three new style factors based on company fundamentals: Value, Growth and Leverage

The new methodology is incorporated into Axioma’s World-Wide, Emerging Markets and Europe risk models.

“Through the ongoing dialog we have with our clients, it became evident that there was a clear need for risk models that provide a better view of global risk,” said Ceria. “Thanks to those constructive discussions, our new multi-country risk models are leading the way to meet the constantly changing needs of our clients.”

Axioma’s new multi-country risk model methodology will be the subject of Axioma’s upcoming seminar series, to be presented in late May and early June in London, Boston, New York, San Francisco and Chicago. For details and to register, please visit www.axioma.com/seminars.htm

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 with additional offices in Atlanta, San Francisco, London, Hong Kong, and Singapore, Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency. For more information about Axioma, please contact Ellen Kiernan at 212.991.4503, or visit the company’s website at www.axioma.com.

Axioma, Inc. Adds Collaborative Search Technology to Website

admin — Tue, 27 Apr 2010 21:40:39 +0000

NEW YORK, NY – April 28, 2010 – Axioma, Inc., a leading provider of decision support, risk analysis and portfolio rebalancing and analysis tools announced today that Ant Leap Search, LLC, a leading provider of collaborative search technology, now powers its website search functionality.

“We are thrilled to offer our clients and site-visitors the improved search relevancy available through Ant Leap’s collaborative search,” said Sebastian Ceria, Axioma’s founder and CEO. “Fewer, more targeted results mean less wasted time; and who’s got time to waste?”

Starting with the results from a conventional web search, Axioma’s new search functionality will focus on those from relevant industry sites, trade publications and research resources from top educational institutions. Results can be sorted and scored dynamically, refined by sub-search and saved locally and indexed for future use.

“Ant Leap’s search technology is built on some the same principles that we have always applied to Axioma’s products; to improve efficiency and provide relevant solutions more quickly,” said Ceria. “We are excited to offer it on Axioma.com.”

About Ant Leap Search, LLC
Ant Leap Search, LLC offers a range of collaborative search technology for corporations from marketing website to enterprise wide collaborative search platforms. Ant Leap’s patented search technology helps corporations generate significant ROI from their non-structured documents and data. Ant Leap’s search platform helps searchers by making re-using and sharing of search work possible. Solutions include improving search relevancy, constructing vertical search subjects, search subjects on demand, search sharing across colleagues, integrating and relevance enhancement across multiple search sources, common search interfaces, and automatic documentation. It also includes dynamic context search capabilities – allowing users to apply their context to search results in real time. For more information, visit http://www.antleap.com/papers.html or call 973-467-3608.

Axioma Awarded Patent for Alpha Factor Risk-Estimation Methodology

admin — Tue, 20 Apr 2010 17:45:47 +0000

NEW YORK, NY – April 20, 2010 – Axioma, Inc., a leading provider of decision support, risk analysis and portfolio rebalancing and analysis tools announced today that the Axioma Alpha Factor™ methodology has been granted a patent by the U.S. Patent and Trademark Office.

The Axioma Alpha Factor method improves risk estimation by reducing the underestimation of risk that typically occurs in optimized portfolios. Numerous empirical backtests have shown that use of the Alpha Factor method improves the accuracy of risk estimation and leads to superior portfolio construction for optimized portfolios. Research also has shown that the Axioma Alpha Factor method improves the alignment between alpha model and risk model factors, thereby improving realized portfolio performance. The Axioma Alpha Factor has been a component of the Axioma Portfolio™ Optimizer since 2006.

Robert Stubbs, PhD, Axioma’s Vice President of Research, and Stefan Schmieta, Axioma’s Vice President and Chief Technology Officer, invented the Alpha Factor method. Both are among Axioma’s first employees, celebrating their 10th anniversaries with Axioma this year.

“All of us at Axioma are enormously proud of Rob and Stefan and their achievement,” said Sebastian Ceria, Axioma’s CEO. “This patent award exemplifies the commitment to innovation and thought leadership that is among our core principles. We applaud Rob and Stefan and congratulate them on this success.”

Research papers on the Axioma Alpha Factor method are available in the research section of Axioma’s website, http://www.axioma.com/research_papers.htm.

Axioma Alpha Factor is a trademark of Axioma, Inc.

Axioma Advisor eNewsletter - April 2010

admin — Tue, 13 Apr 2010 13:45:20 +0000

April 2010 Issue of Axioma Advisor Now Available

Axioma Robust Risk Models and Axioma Portfolio Join FactSet Platform

admin — Fri, 26 Mar 2010 17:19:39 +0000

NEW YORK, March 26, 2010 — Axioma, Inc., today announced a new agreement with FactSet Research Systems (NYSE:FDS | NASDAQ: FDS), a leading provider of global data and analytics to the financial services industry. Under the agreement, FactSet will offer access to Axioma’s Robust Risk Model™ suite and Axioma Portfolio™–Axioma’s industry-leading portfolio construction software.

Axioma’s robust equity risk models and analytics are available via FactSet now. Axioma Portfolio will be integrated into the FactSet platform in the second quarter of 2010, providing investment professionals with access to the full range of Axioma’s innovative portfolio-construction and risk-management tools.

“Axioma’s innovations in the equity risk model space have generated significant demand in the global investment management community,” said Jonathan Underhill, Vice President of Global Sales and Client Services for Axioma. “Integration of our models over the FactSet platform will serve to further satisfy the industry’s requirement for increasingly flexible and innovative risk management tools.”

“FactSet is pleased to add Axioma’s risk models to our portfolio analytics suite,” said Rick Barrett, FactSet’s Director of Quantitative Sales. “As Axioma’s risk models have gained traction in the marketplace, we’ve heard from more and more of our clients looking to combine Axioma’s unique approach to modeling risk with FactSet’s powerful analytics. The combined solution offers comprehensive risk management capabilities backed by FactSet’s industry-leading support.”

Plan sponsors, portfolio and risk managers, and other investment professionals may now decompose and analyze the risk of their investments and perform risk-adjusted performance attribution using the powerful combination of FactSet’s analytical application and Axioma’s suite of robust equity risk models. The suite includes both fundamental and statistical factor models, with all of the risk-model components updated on a daily basis. Key features include:

• Fundamental and statistical factor models provide multiple views and a better perspective of risk
• Daily updates of all risk-model components allow users to stay on top of volatile markets
• Methodological enhancements enable risk models to adapt quickly to changing risk environments
• Factor transparency and industry-standard classifications eliminate the “black box” and ensure alignment with investment objectives
• Country- or industry-specific views of market risk provide different perspectives for a more relevant decomposition of risk

About FactSet
FactSet (NYSE:FDS | NASDAQ: FDS) combines integrated financial information, analytical applications, and client service to enhance the workflow and productivity of the global investment community. The company, headquartered in Norwalk, Connecticut, was formed in 1978 and now conducts operations along with its affiliates from more than twenty-three locations worldwide, including Boston, New York, Chicago, San Mateo, London, Amsterdam, Frankfurt, Paris, Milan, Tokyo, Hong Kong, Mumbai, and Sydney. For more information about FactSet, contact 203.810.1000 or visit www.factset.com.
Axioma Robust Risk Models and Axioma Portfolio are trademarks of Axioma, Inc.

Axioma and Macquarie Quant Team Announce Latest Seminar Series

admin — Tue, 02 Mar 2010 19:59:08 +0000

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.

Sebastian Ceria, PhD, CEO of Axioma, will present Axioma’s recent research on the interaction between risk models and alpha signals. This topic is of great importance to anyone looking to combine/analyze alpha forecasts in a portfolio using a risk model, particularly when the two are derived independently. Axioma has examined the specific nature of the interaction between risk factors and alpha factors, leading to some interesting insights into how to manage misalignment between the two. This research is soon to be published so attendees will have the opportunity to hear the findings before they become widely available.

The Macquarie Quant team will also present new research, focusing on incorporating a macro overlay into the investment process. Extending their research into the link between the macro environment and alpha factor performance, they look to see if their macro overlay techniques are useful for forecasting and estimating risk. This is a highly topical issue for all quantitative investors, especially if the short sharp economic cycles that are forecast by the Macquarie Strategy team eventuate.

This event will be of interest to anyone involved in quantitative portfolio construction, implementation or risk management.

Event Information:
Sydney
Date: 18th March 2010
Time: 12.20pm - 2.00pm
Location: Four Seasons Hotel, 199 George St, Sydney
RSVP: Michael Cruz, michael.cruz@macquarie.com

Melbourne
Date: 19th March 2010
Time: 12.20pm - 2.00pm (lunch will be provided)
Location: Level 23, 101 Collins Street, Melbourne
RSVP: Emma Nelson, emma.nelson@macquarie.com

About Macquarie
Macquarie Group (Macquarie) is a global provider of banking, financial, advisory, investment and funds management services. Macquarie’s main business focus is making returns by providing a diversified range of services to clients. Macquarie acts on behalf of institutional, corporate and retail clients and counterparties around the world. Macquarie Group Limited is listed in Australia (ASX:MQG) and is regulated by APRA, the Australian banking regulator, as the owner of Macquarie Bank Limited, an authorized deposit taker. Macquarie’s activities are also subject to scrutiny by other regulatory agencies around the world.

Founded in 1969, Macquarie operates in more than 26 countries and employs approximately 12,700 people. Assets under management total more than $C213 billion (as of March 31, 2009)

Alpha Alignment Factor: A Solution to the Underestimation of Risk for Optimized Active Portfolios

admin — Thu, 18 Feb 2010 18:11:11 +0000

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

Russell and Axioma to launch factor-based indexes, leading with innovative momentum series

admin — Tue, 15 Dec 2009 21:15:34 +0000

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™.

The Russell-Axioma Momentum Indexes—the first in the series—track momentum returns closely while simultaneously exhibiting a number of desirable, practical features related to index implementation and non-momentum factor neutrality. The optimization methodology used to construct these indexes has been tested extensively and validates the realized index characteristics and returns.

“These new products are designed to help portfolio managers and traders obtain specific factor exposures in order to implement particular investment goals, while improving the overall characteristics of their portfolios,” said Ron Bundy, managing director for Russell Indexes. “We’re very pleased to work with Axioma, a recognized innovator in portfolio optimization and risk management, on the launch of these initial factor indexes. These indexes extend Russell’s widely followed methodology and practices to include what Russell believes are the best and most important elements of optimization and risk modeling.”

“As markets emerge from the global recession our clients are looking for greater ability to build and scrutinize very specific investment products, which includes closely tracking and managing their opportunities and risk,” said Bundy. “Our comprehensive global index design is ideal for crafting customized factor indexes to meet any such specific needs.”

Bundy also announced today that Goldman Sachs is the initial client for the new Russell-Axioma Momentum Indexes. ”We appreciate the valuable insights and feedback that Goldman Sachs provided in connection with the factor series, and we’re looking forward to working with them on the development of additional factor indexes,” he said.

Using Russell’s index methodology as the foundation, Axioma will utilize its optimization expertise and suite of global Robust Risk Models with the goal of minimum factor tracking error, maximum targeted factor exposure, minimum turnover, and neutrality to all other characteristics.

Sebastian Ceria, CEO of Axioma, said, “We are delighted to be teaming up with Russell, the industry leader in performance benchmarks. Axioma’s powerful optimization technology and risk management expertise, combined with Russell’s index capabilities, will help clients implement their investment and hedging strategies with significantly less turnover and lower transaction costs.”

“The returns of the Russell-Axioma Factor Indexes are designed to replicate the factor returns one would anticipate. These indexes also will be the first to consider essential issues relating to how such factor portfolios should be implemented in practice,” Ceria said. “Our extensive research has shown that these desired characteristics cannot be obtained only by controlling exposure. One must combine a powerful optimizer and risk model to achieve what practitioners require from a factor-based benchmark.”

Initial products will include the optimized Russell-Axioma U.S. Large Cap Momentum Index, which will be based on the Russell 1000® Index. The initial launch also will include the Russell-Axioma U.S. Small Cap Momentum Index, based on the Russell 2000® Index, and the Russell-Axioma U.S. Momentum Index, based on the broad-market Russell 3000® Index.

About Russell
Russell Investments provides strategic advice, world-class implementation, state-of-the-art performance benchmarks and a range of institutional-quality investment products. Russell has $174 billion in assets under management as of Sept. 30, 2009, and serves individual, institutional and advisor clients in more than 40 countries. Russell Indexes have $4 trillion in assets benchmarked to them as of June 30, 2008.

Axioma Robust Risk Model is a trademark of Axioma, Inc.

Russell Investments is a Washington, USA Corporation, which operates through subsidiaries worldwide and is a subsidiary of The Northwestern Mutual Life Insurance Company.

Russell Investments is the owner of the trademarks, service marks and copyrights related to the Russell Indexes.

Axioma and Russell Investments are the source and joint owners of trademarks, service marks and copyrights related to the Russell-Axioma Factor Indexes.

Russell publication of the Russell Indexes, including the Russell-Axioma Factor Indexes, in no way suggests or implies an opinion by Russell as to the attractiveness or appropriateness of investment in any or all securities upon which the Russell Indexes are based,

Indexes are unmanaged and cannot be invested in directly.
This material is proprietary and may not be reproduced, transferred, or distributed in any form without prior written permission from Russell Investments. It is delivered on an “as is” basis without warranty.

Nothing contained in this material is intended to constitute legal, tax, securities, or investment advice, nor an opinion regarding the appropriateness of any investment, nor a solicitation of any type. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional.

Axioma, Inc. Launches New Single-Country Risk Models for UK and Japan

admin — Mon, 09 Nov 2009 16:17:10 +0000

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.

“The UK and Japan models are the latest addition to our growing library of single-country factor models,” said Ron Perez, Axioma’s Vice President of Product Development and Strategy. “These new models offer the same set of features that Axioma has applied to all of its risk models, including daily updates of all risk model components as well as fundamental and statistical model variants. In addition, we have custom tailored the GICS® –based industry factors for the individual markets, affording a level of detail unavailable in regional models.”

“Both the UK and Japan models include three new, balance sheet-based, fundamental factors: Value, Growth and Leverage,” said Perez.

The Japan Model covers over 3,800 securities listed on the Tokyo, Osaka, Nagoya, Fukuoka, Sapporo, and JASDAQ Stock Exchanges. The UK model covers over 2,000 securities listed on the London Stock Exchange, including Investment Trusts and REITs. Both models offer a forecast horizon of 3-6 months, and contain daily history from January 1999 onwards. The new Japan model will eventually replace the current Japan risk model (AX-JP1).

GICS is registered trademark of Standard & Poor’s and MSCI Barra
Axioma Robust Risk Model is a trademark of Axioma, Inc.

Axioma to Speak at Macquarie Event in London

admin — Fri, 16 Oct 2009 15:12:44 +0000

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.

The even is titled, “To optimise or not to optimise: that is the question.” In addition to Ceria, Prof Raman Uppal, Professor of Finance at the London Business School will also be speaking.

The two speakers will discuss a wide range of issues, focusing particularly on their extensive experience of using optimisation techniques and some of the latest advances in the field that they think add value in the real world. The session is planned to be as interactive as possible and open discussion between the speakers and the audience will be welcome.

For more details about the event and to register click here.

Founded in 1969, Macquarie operates in more than 26 countries and employs approximately 12,700 people. Assets under management total more than $C213 billion (as of March 31, 2009).

Constraint Attribution

admin — Mon, 12 Oct 2009 21:13:11 +0000

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

Axioma Advisor eNewsletter - October 2009

admin — Fri, 09 Oct 2009 19:15:49 +0000

October 2009 Issue of Axioma Advisor Now Available

Axioma Launches New Robust Risk Model for Australia

admin — Wed, 30 Sep 2009 14:00:03 +0000

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.

“In building the Australia model, our researchers gave special consideration to industry subdivisions that are unique to the Australian markets,” said Ron Perez, Vice President of Product Strategy. “We looked at the GICS® Sectors and saw that we could heighten the explanatory power of the model by using our own, more granular industry classifications, particularly in Materials and Financials.”

“We used a similar approach when building our Canada model and have received enthusiastic feedback from our Canadian clients since that release in June,” added Perez.
The Axioma Australia model currently covers approximately 1,800 securities listed on the Australian Stock Exchange and is suitable for a forecast horizon of three to six months. Like all other Axioma risk models, it includes fundamental and statistical factor model variants. The fundamental factor model includes nine style factors and 20 industry factors; the statistical factor model includes 15 statistical factors. Historical coverage is from January 1999 to the present.

The Australia model is Axioma’s sixth single-country model. Other single-country models include the United States, United Kingdom, Japan, Taiwan and Canada. Axioma also offers a Global Model and regional models for Europe and Emerging Markets. All Axioma Robust Risk Models are updated daily.

“The value of the daily updates is that it gives clients total discretion as to when and how often they assess their portfolios’ exposures,” said Perez. “This is especially important in times of increased volatility or shifts in market regimes. Rather than being forced to act once a month, in lockstep with other managers, Axioma’s clients can calibrate their portfolios’ risk characteristics any day of the month. The manager–not the risk vendor– decides the timing of when to analyze their portfolios’ risk exposures, on either an ex post or ex ante basis.”

GICS is registered trademark of Standard & Poor’s and MSCI Barra
Axioma Robust Risk Model is a trademark of Axioma, Inc.

Axioma and Macquarie Securities to Host Events in Sydney, Melbourne

admin — Tue, 22 Sep 2009 19:46:28 +0000

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.

Axioma’s presentation will focus on their newly-released Australia risk model, which features both fundamental and statistical models. Olivier d’Assier, President of Axioma Asia will discuss the unique methodology of this new risk model, which like all of Axioma’s risk models features daily updates of all risk model components.

The Macquaire Quant team will introduce their latest research on optimal portfolio rebalancing and an examination of the trade-offs between different approaches to portfolio rebalancing, ranging from the traditional monthly schedule through to dynamic schemes based on daily monitoring.

These event will be of interest to anyone involved in quantitative portfolio construction/implementation or risk management.

Event Details
Sydney
Date: 30th September 2009
Time: 12.30pm - 2.00pm (lunch will be provided)
Location: Level 8, 1 Martin Place, Sydney
RSVP: nicole.mackay-sim@macquarie.com or kimberley.brand@macquarie.com

Melbourne
Date: 1st October 2009
Time: 12.30pm - 2.00pm (lunch will be provided)
Location: Level 23, 101 Collins Street, Melbourne
RSVP: emma.nelson@macquarie.com

Founded in 1969, Macquarie operates in more than 26 countries and employs approximately 12,700 people. Assets under management total more than $C213 billion (as of March 31, 2009).

Axioma Enhances its World Wide and European Robust Risk Models

admin — Tue, 15 Sep 2009 14:03:26 +0000

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.

“When we announced plans in 2005 to enter the risk-model business, it was unclear to many market participants the extent of Axioma’s commitment to becoming a leader in the risk model space,” recalls Ron Perez, Vice President for Product Management and Strategy. “Over the last three years, we have leveraged our research and thought leadership to establish a strong and growing franchise which now counts among its clients some of the world’s largest money managers.”

Axioma currently offers risk models for the Global Market, Emerging Markets, Europe, the U.S., the U.K., Japan, Taiwan, and, most recently, Canada. And the pipeline remains full, with a new model for Australia to be launched this fall, along with enhanced models for the U.K. and Japan, to be delivered before year-end.

Axioma’s risk models also offer a unique combination of powerful features, including daily updates of all risk model components to provide timely and relevant insight to portfolio construction, both fundamental and statistical factor models to give you different perspectives of risk, and complete transparency so portfolio managers can easily understand their exposures to risk.

“As the market leader in creating tools for portfolio construction and rebalancing, Axioma is uniquely positioned to apply its expertise in quantitative investment processes to develop new risk models better suited to meet the challenges of today’s volatile markets. We have seen practitioners respond enthusiastically to our innovative approach to risk models, often after conducting exhaustive side by side comparisons with incumbent vendors. The rapid market acceptance of our risk models stands as the strongest testament that Axioma is now regarded as a premier risk-model vendor” notes Perez.

Axioma’s World Wide and European risk models now include the following features:
• Extended model history – Daily data back to January 1999.
• Increased asset coverage
• Security level Trading Currency - prices are presented in the actual currency they trade in at any point of time.
• Historic betas to all assets in addition to predicted betas – Previously this attribute was limited to few markets.

The release of extended daily history for Axioma’s World Wide and European models underscores Axioma’s commitment to delivering innovative products based on years of research experience and the latest technological advances in quantitative methods. The extended history is available for immediate delivery to all subscribers of the World Wide and European models.

Axioma to Present Constraint Attribution Research at Citi Quant Conference

admin — Tue, 08 Sep 2009 19:06:29 +0000

NEW YORK, September 8, 2009—Axioma, Inc., a leading provider of decision support, risk analysis and portfolio rebalancing tools, announced that it will be a presenter at the Citi Quantitative Conference 2009. The event will be held on Thursday, September 24 and Friday, September 25, 2009 at the Radisson Edwardian Mayfair Hotel in London.

Adrian Zymolka, Axioma’s Director of Client Services for the UK and Europe will give a presentation entitled, “Constraint Attribution: Mastering Constraints for Portfolio Construction.”

“It is well established that constraints in portfolio construction cause deviations from the classical mean-variance portfolio, known as unrealized alpha, opportunity costs, or implementation inefficiency,” explained Zymolka. “Our research helps answer the important question of whether your constraints helping or hurting your portfolio construction process.”

Zymolka will give his presentation on Friday the 25th, during the morning session of the conference.

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 with additional offices in Atlanta, San Francisco, London, Hong Kong, and Singapore, Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency. For more information about Axioma, please contact Ellen Kiernan at 212.991.4503, or visit the company’s website at www.axiomainc.com.

Axioma Names Brad Thilges Senior Product Manager for Risk Analytics and Performance Attribution

admin — Thu, 06 Aug 2009 19:57:13 +0000

New York, August 6, 2009 - Axioma, Inc., a leading global provider of decision support, risk analysis and portfolio rebalancing tools for the financial services industry, today announced that Brad Thilges has joined Axioma as Senior Product Manager for Risk Analytics and Performance Attribution.

“Brad’s extensive experience is going to be a great asset to our Product Management team,” said Ron Perez, Axioma’s Vice President of Product Management and Strategy. “He brings to his new role a deep knowledge of both products and markets in the areas of equity factor models, portfolio analytics, investment processes, and quant strategies.”

Prior to joining Axioma, Brad worked at MSCI Barra where he excelled in a variety of positions from 1997 through 2009. Most recently he was Executive Director responsible for Equity Portfolio Analytics. Brad is a CFA charter holder, a member of the Chicago Quantitative Alliance (CQA), and a member of the Global Association of Risk Professionals (GARP). He earned a BS degree in Industrial Engineering from Iowa State University and an MBA from the University of New South Wales.

Brad will be based in Axioma’s San Francisco office.

Axioma to Present Research on the Use of Multiple Daily Risk Models at Macquarie Global Quant Conference

admin — Thu, 30 Jul 2009 19:47:36 +0000

NEW YORK, July 30, 2009—Axioma, Inc., a leading provider of decision support, risk analysis and portfolio rebalancing tools, announced that it will be a presenter at Macquarie’s Global Quant Conference. The event will be held on Thursday, 6 August 2009 in at the Fullerton Hotel in Singapore.

Oliver d’Assier, Axioma’s Managing Director for Europe and Asia will present a talk entitled, “Portfolio Construction Using Multiple, Daily Risk Models.” The presentation is based on research that was the basis for Axioma’s global suite of risk models.

“Our research demonstrates that the use of multiple risk models with daily updates can significantly improve risk prediction, portfolio construction and strategy-building,” said d’Assier. “We are excited to be participating in what promises to be another outstanding Macquarie event.”

d’Assier will also join a round table discussion on the future of alpha generation.

More information about the event or to register, please visit the event website http://www.macquarie.com/msg/GlobalQuant09-Reg_information.htm

Axioma Advisor eNewsletter - June 2009

admin — Tue, 30 Jun 2009 14:48:05 +0000

June 2009 Issue of Axioma Advisor Now Available

Axioma and Macquarie Quant to Host Joint Seminar in Tokyo on Risk and Quant Investment Strategy

admin — Tue, 30 Jun 2009 14:24:24 +0000

NEW YORK, June 30, 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 the second in a series of joint seminars on portfolio construction and risk modeling.

In this luncheon seminar, to be held 14 July 2009 in Tokyo, Axioma and the Macquarie Quant Team will discuss risk and quantitative investment strategy.

Presenting for Axioma will be Olivier d’Assier, Axioma Managing Director for Europe and Asia. Geroge Platte, Head of the Macquarie Global Quant Team and Tsumugi Akiba, Japan Quant Analyst will present for Macquarie.

“Today’s volatile markets requires new tools, new approaches and new ideas,” said d’Assier. “This seminar will be an exciting opportunity to learn about Axioma’s innovative approach to risk and the latest insights on quant strategy from the Macquarie Quant Team.”

“Those with a better understanding of their risk are better positioned to succeed in today’s investment environment. The topics that we will address in this seminar are aimed precisely at this challenge” added Platte.

Seminar Details:
Topic: Risk and Quant Investment Strategy
Date: Tuesday, 14 July 2009
Time: 11:30 – 13:00 (lunch will be provided)
Location: New Otani Hotel, The Main 16/F LAPIS 1

To attend, please email Tsumugi Akiba at tsumugi.akiba@macquarie.com, or call 03-3512-7560, by Tuesday, 7 July.

Founded in 1969, Macquarie operates in more than 26 countries and employs approximately 12,700 people. Assets under management total more than $C213 billion (as of March 31, 2009).

Axioma to Present Research on the Use of Multiple Risk Models at LQG Technology Day

admin — Wed, 17 Jun 2009 20:33:56 +0000

NEW YORK, June 17, 2009—Axioma, Inc., a leading provider of decision support, risk analysis and portfolio rebalancing tools, will present a research paper entitled Portfolio Analysis and Construction Using More Than One Risk Model at the London Quant Group’s Technology Day. The event will be held on Wednesday, July 1, 2009 in London.

“Our research demonstrates that the use of multiple risk models can significantly improve risk prediction, portfolio construction and strategy-building,” said Sebastian Ceria, Chief Executive Officer of Axioma. “We are excited to be participating in what promises to be another outstanding LQG event, particularly since July’s seminar is the first LQG gathering in which quantitative investment tools will be the focus of the day.”

Following Ceria’s presentation, the paper will be made available in the Research section at www.axiomainc.com/research_papers.htm.

More information about the event or to register, please visit www.lqg.org.uk.

About London Quant Group
The London Quant Group is a not-for-profit organization that aims to provide a forum for the presentation and discussion of practical, quantitative investment ideas, with a series of seminars, including the Annual investment Seminar held every September. Seminars are open to both members and non-members, however members benefit from reduced rates for seminar attendance and access to all seminar papers and presentations.

TABB Group Report: Financial Crisis Highlights New Requirements for Effective Equity Risk Models

admin — Thu, 04 Jun 2009 21:28:29 +0000

NEW YORK, June 4, 2009–The financial crisis has proved to be a Darwinian test for equity risk models and only the most innovative are likely to prosper, according to a new TABB Group report entitled “Equity Risk Models: The Evolution of Predictions.”

Multiple interviews conducted by the TABB Group with portfolio managers and risk managers revealed that performance standards for equity risk models have fundamentally and irrevocably changed in the wake of the meltdown. Features such as daily risk-model updates, concurrent use of both fundamental and statistical models, complete factor and computational transparency and constant research and innovation are the new baseline characteristics clients are demanding of risk-model providers.

“This new TABB report represents an unequivocal affirmation of Axioma’s new approach to modeling risk,” said Sebastian Ceria, Chief Executive Officer of Axioma, Inc. “In fact, the key innovations cited in the report are critical features that we have built into Axioma’s new suite of risk models during the last four years of development. Axioma stands alone in the marketplace in offering this unique set of advanced features. I’m pleased to say that the close and collaborative relationships we enjoy with our clients played a critical role in shaping our risk models, and will continue to do so in the future.”

According to Adam Sussman, Director of Research at TABB Group and author of the report, “…the events of the last year have shown us that we need a better understanding of risk and closer alignment between the analysis and the objectives of the portfolio. To help achieve this goal, equity risk models must offer a flexible and transparent structure that allows clients to more closely integrate risk management into their workflows.”

Axioma’s suite of domestic, regional and global risk models delivers the most robust set of risk-assessment capabilities available today. Key features include availability of both fundamental and statistical models, daily updates of all risk model components, multiple time horizons, true model transparency, and innovative methodological enhancements to improve forecasting abilities—including Axioma’s Dynamic Volatility Adjustment (DVA), an algorithm that allows risk estimates to adapt more rapidly in regime switching environments.

“Many model providers are devout in their defense of either the statistical or fundamental approach, but research shows that both approaches have merit and simultaneous analysis can provide significantly enhanced insight to sources of risk,” said Rob Stubbs, Axioma’s Vice President of Research. “Providing both flavors in one package gives our customers the flexibility to make their own decisions based on individual strategies and situations.”

“The ability to predict risk better continues to be the ultimate test of a risk model,” added Ceria. “We are confident that Axioma’s risk models can help investment professionals to do a better job of dealing with the unprecedented volatility that characterizes today’s markets.”

The new TABB Group report on equity risk models is available exclusively through Axioma at http://www.axiomainc.com/tabbreport0509.htm.

Axioma and Macquarie Quant to Host Seminar in Toronto On Better Techniques for Managing Risk in Volatile Markets

admin — Mon, 01 Jun 2009 15:15:11 +0000

NEW YORK, June 1, 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 a joint seminar on portfolio construction and risk modeling.

In this breakfast seminar, to be held June 18, 2009 in Toronto, Axioma and the Macquarie Quant Team will discuss managing risk in volatile markets by introducing Axioma’s Canadian Risk Model and Macquarie’s quantitative research on portfolio construction.

“Managing risk in today’s volatile markets requires new tools, new approaches and new ideas,” said Sebastian Ceria, Chief Executive Officer of Axioma. “This seminar will be an exciting opportunity to learn about Axioma’s innovative risk models and the latest insights on better portfolio construction from the Macquarie Quant Team.”

Added Yin Luo, CFA , Managing Director, Head of North American Quantitative Research for Macquarie, “Those with a better understanding of their risk are better positioned to succeed in today’s investment environment. The topics that we will address in this seminar are aimed precisely at this challenge.”

The topics to be discussed include:
• How to manage “black swan” risk in alpha models by incorporating higher moments like skewness and kurtosis.
• How the combination of fundamental and statistical models in a single platform provides a multi-dimensional view of portfolio risk, and greater insights into investment strategy.
• How to use daily updates for a more accurate assessment of intra-month risk.

Individual meetings with Axioma or Macquarie Quant team are available on request. To sign up for the seminar or to schedule a private meeting, please contact Axioma at sales@axiomainc.com or visit http://www.axiomainc.com/seminars.htm.

Event: Seminar on Portfolio Construction and Risk Modeling
Date: Thursday, 18 June 2009
Time: 8:00 am – 10:00 am (breakfast will be provided)
Location: King Edward Hotel, 37 King Street East, Toronto ON

Founded in 1969, Macquarie operates in more than 26 countries and employs approximately 12,700 people. Assets under management total more than $C213 billion (as of March 31, 2009).

Macquarie has had a permanent and growing presence in Canada since opening its first office in 1998. Macquarie employs more than 420 people in Canada with offices in Toronto, Vancouver, Calgary and Montreal. Macquarie’s activities in Canada include advisory and capital markets, specialized asset management, lending, financial markets and institutional broking.
Additional information can be found at www.macquarie.com/ca.

Axioma Launches Enhanced Suite of US Equity Factor Risk Models

admin — Tue, 26 May 2009 19:26:17 +0000

New York, May 27, 2009 –Axioma, Inc., a leading provider of decision support, risk analysis and portfolio rebalancing tools, announced today the launch of the company’s enhanced suite of factor risk models for US-listed equities.

“Axioma’s new suite of US risk models –which now includes both fundamental and statistical models–delivers the most robust set of risk assessment capabilities available today,” said Sebastian Ceria, Chief Executive Officer of Axioma. “With its multiple models, daily risk updates, methodological enhancements and true transparency, no other suite of US risk models is better equipped to help portfolio managers respond to the unprecedented volatility that we continue to observe in the markets today.”

Research demonstrates that the use of multiple risk models can significantly improve risk prediction, portfolio construction and strategy-building. Axioma’s new US suite provides superior explanatory power by including both statistical and fundamental models each with a medium and short horizon version. In one package, Axioma delivers multiple lenses through which managers can better evaluate their portfolio exposures.

The suite also introduces a new exchange-rate sensitivity factor useful for companies that are affected by fluctuations in exchange rates. Overall, the suite’s 68 industry factors are based on the most up-to-date GICS® Industries. In addition, Axioma’s proprietary Dynamic Volatility Adjustment (DVA) technique enhances the responsiveness of volatility estimates, reducing the “volatility lag” that is typical in other offerings in the marketplace.

The new suite supersedes the first version of Axioma’s US risk models, which was launched in October 2006.

“More than four years ago, our clients began urging us to bring the same process of continuous innovation to the risk-model space that we had brought to portfolio construction. Based on the enormously positive response from our clients, I believe we have effectively responded to that challenge. We at Axioma remain dedicated to working closely and collaboratively with our clients so that we may continue to deliver unrivaled value and performance to the marketplace,” said Ceria.

More information about Axioma’s US Equity Factor Risk Models is available at www.axiomainc.com or by contacting sales@axiomainc.com.

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 with additional offices in Atlanta, San Francisco, London, Hong Kong, and Singapore, Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency. For more information about Axioma, please contact Ellen Kiernan at 212.991.4503, or visit the company’s website at www.axiomainc.com.

Axioma Advisor eNewsletter - March 2009

admin — Tue, 31 Mar 2009 13:25:33 +0000

March 2009 Issue of Axioma Advisor Now Available

Axioma Announces the Release of Axioma Portfolio v6.2 with Powerful New Automation Features and Enhanced Risk Analytics

admin — Thu, 26 Mar 2009 14:53:06 +0000

NEW YORK, March 25, 2009 - Axioma, Inc., a leading global provider of decision support, risk analysis and portfolio rebalancing tools for the financial services industry, today announced the release of Axioma Portfolio™ software version 6.2. The latest release of Axioma’s flagship product includes powerful new automation features, enhanced risk analytics, new strategy-building additions, improved backtester analytics and other refinements.

“For clients handling dozens or even hundreds of accounts, the new automation feature is a huge time saver,” says Ron Perez, Axioma’s Vice President of Product Management and Strategy. “The automation feature streamlines processes and improves scalability.Clients can now run standard tasks, such as rebalancing, risk reports and sensitivity analysis, whenever they choose, even overnight. This frees up managers to devote more time to the things that really count, such as strategy development and client contact.”

Axioma Portfolio v6.2 also introduces new risk analytics that provide more insight and value to portfolio managers.

“Everyone is looking for tools that can help them identify unintended exposures sooner,” says Perez. “Axioma’s ongoing efforts to expand the depth and breadth of its risk analytics give clients a better view of their risk.”

“We’re also now offering our risk analytics as a stand-alone software package that integrates seamlessly with Axioma’s risk models, as well as third-party models. Fundamental managers can now access this powerful analytic tool in an extremely cost effective manner,” adds Perez.

“A risk tool that doesn’t identify the risk until the damage is done isn’t of much use,” notes Perez. “The enhanced risk analytics in Axioma Portfolio, used in combination with our daily risk models, give clients an unprecedented ability to stay on top of their risk. By having integrated access to fundamental and statistical risk models on a single platform, Axioma allows clients to see multiple risk model estimates in one report, and to use our custom risk decomposition to include user-defined factors.”

More information about Axioma Portfolio is available at www.axiomainc.com or by sending an inquiry to sales@axiomainc.com.

About Axioma

Axioma Portfolio is a trademark of Axioma, Inc.

Axioma Announces the Release of Axioma Risk Analytics

admin — Thu, 26 Mar 2009 14:24:32 +0000

NEW YORK, March 25, 2009 - Axioma, Inc., a leading global provider of decision support, risk analysis and portfolio rebalancing tools for the financial services industry, today announced the release of Axioma Risk Analytics™ software. Axioma Risk Analytics provides a complete set of tools to manage and analyze sources of risk, in a powerful, stand-alone application.

“In the current environment of unprecedented volatility, Axioma Risk Analytics gives managers timely insights that cannot be obtained with any other solution,” says Ron Perez, Axioma’s Vice President of Product Management and Strategy. “The flexibility, analytical range, and ease of use of Axioma Risk Analytics make it suitable for both fundamental and quantitative managers.”

Axioma Risk Analytics offers Axioma’s advanced risk decomposition technology in a stand-alone package for the first time. Now managers who do not use an optimizer can access the tools they need in a cost-effective, risk-only product.

“Axioma Risk Analytics is designed to work with Axioma’s suite of daily risk models and its open architecture lets portfolio managers seamlessly integrate both third-party models and map in-house factor exposures,” says Perez. “With Axioma Risk Analytics, users can load multiple models and/or exposures concurrently to gain a multidimensional view of risk.”

“But a risk tool that doesn’t identify the risk until the damage is done isn’t of much use,” notes Perez. “Our risk analytics, used in combination with our daily risk models, give clients an unprecedented ability to stay on top of their risk. By having integrated access to fundamental and statistical risk models on a single platform, Axioma allows clients to see multiple risk model estimates in one report, and to use our custom risk decomposition to include user-defined factors.”

For more information about Axioma Risk Analytics please send an inquiry to sales@axiomainc.com.

About Axioma

Multi-Portfolio Optimization and Fairness in Allocation of Trades

admin — Fri, 30 Jan 2009 17:16:16 +0000

When trades from separately managed accounts are pooled for execution, the realized market-impact cost can be far greater than the sum of the predicted cost over all accounts. Multi-portfolio optimization is a technique for rebalancing multiple portfolios at the same time, considering their joint effects while adhering to account-specific constraints. The interaction of accounts in a multi-portfolio setting can bias particular accounts if fairness is not considered in the solution methodology. With respect to the trading of multiple accounts, fairness is not well-defined. Definitions vary among portfolio managers often based on their particular investment offering. For this reason, we do not prescribe a single best approach for multi-portfolio optimization. Instead, we discuss the pros and cons of two approaches that each has foundations in economic theory, the Cournot-Nash equilibrium and the collusive solution. We present a unified framework capable of solving either problem.

Axioma Research Paper No. 013

Advanced Trading cites TABB Group Report

admin — Mon, 26 Jan 2009 20:12:00 +0000

In an online article, Advanced Trading cited the TABB Group’s report on managing risk in volatile markets. The article reinforces importance of innovations such as those available in Axioma’s global risk model.
Read the article at advancedtrading.com.

TABB Group Report Cites Value of New Tools that Measure Risk Better in Volatile Markets

admin — Wed, 10 Dec 2008 22:09:35 +0000

NEW YORK, December 11, 2008—A new independent TABB Group report cites recent innovations in equity risk models, such as the “more frequent updates, transparent models and flexible views” that are provided in Axioma’s new Robust Risk Models, as being essential to helping portfolio and risk managers to obtain a better handle on risk during periods of high market volatility.

“Axioma’s new risk models employ a combination of operational and methodological innovations that, quite simply, enable our clients to better predict risk,” said Sebastian Ceria, Chief Executive Officer of Axioma. “The value of these innovations is fast becoming recognized, as reflected in the TABB Group report, and particularly as the inadequacies of conventional risk models have been exposed during the recent market turmoil.”

Axioma’s Robust Risk Models include three major innovations. First, Axioma is the only risk provider that re-estimates all risk-model components on a daily basis, a critical advantage in an environment where volatility changes significantly intra-month. Second, a new proprietary technique developed by Axioma allows its risk models to adapt much more quickly to changes in volatility regimes, enabling users to minimize periods of risk underestimation and overestimation. Third, Axioma’s suite of risk models includes both fundamental and statistical factor models. This feature gives clients the ability to use multiple risk models in their analyses, which new research shows does a better job of predicting risk.

The new TABB Group report is entitled, “A Clear View on Risk: New Developments for Stormy Times.”

More information about Axioma’s Robust Risk Models is available at www.axiomainc.com/robust.htm or by contacting Ellen Kiernan at 212-991-4503.

Request a copy of the TABB Group report at www.axiomainc.com/tabbreport.htm.

About Axioma

Axioma Advisor eNewsletter - December 2008

admin — Wed, 10 Dec 2008 14:31:45 +0000

December 2008 Issue of Axioma Advisor Now Available

How to Evaluate a Risk Model

admin — Thu, 13 Nov 2008 06:16:49 +0000

Risk model providers commonly report the average R2 value of the asset returns model. Some models, such as statistical models, will consistently have greater R2 values than others. However, strong explanatory power from a returns model does not necessarily translate into an accurate risk model. The ultimate test of a risk model lies in the testing of its risk forecast against realized values.

Research Report No. 012

Axioma announces Axioma Portfolio™ for MATLAB® and R

admin — Thu, 13 Nov 2008 06:16:48 +0000

NEW YORK, November 13, 2008 - Axioma, Inc., a leading global provider of decision support, risk analysis and portfolio rebalancing tools for the financial services industry, today announced the availability of a new interface that allows clients to easily access the optimization capabilities of Axioma Portfolio™ software from within both MATLAB® and R environments.

“MATLAB and R users can now access Axioma Portfolio without leaving their research environment and without having to rely on other programming languages, such as Java or C++,” said Ron Perez, Vice President for Product Management and Strategy.

Axioma’s innovative tools for portfolio construction, rebalancing and backtesting are among the key features that clients can easily access with this new interface for the Axioma Portfolio Java API.

“We created this solution to help our existing clients that already use MATLAB or R, but also to enable users of MATLAB or R that are in need of a robust portfolio optimization platform to efficiently research and implement their investment strategies,” added Perez.

More information about the new module is available at www.axiomainc.com or by sending an inquiry to sales@axiomainc.com.

Axioma Portfolio is a trademark of Axioma, Inc.

MATLAB is a registered trademark of The MathWorks, Inc.

Axioma Names Ron Perez as Vice President for Product Management and Strategy

admin — Thu, 13 Nov 2008 05:46:58 +0000

NEW YORK, November 13, 2008 - Axioma, Inc., a leading global provider of decision support, risk analysis and portfolio rebalancing tools for the financial services industry, today announced that Ron Perez has joined the company as Vice President for Product Management and Strategy.

“Ron is an outstanding addition to our management team,” said Sebastian Ceria, Chief Executive Officer of Axioma. “His acute focus on customer needs, combined with a talent for delivering products and product extensions to meet those specific needs, will play an important role as Axioma continues to expand the scope of its growing portfolio of products to customers worldwide.”

Perez was previously with Thomson Financial since 2003, where he was responsible for the development of the Desktop Analytics Products in the Investment Management Division. Most recently he directed the development of Thomson Reuters Spreadsheet Link, the firm’s next generation Excel Add-in. As part of this effort, he played a leading role to create WebQA, Thomson Reuters strategic platform for hosted applications targeted at analysts and portfolio managers. Prior to this, he managed the launch of Thomson ONE Investment Management, the firm’s flagship product for the Investment Management Division, and had overseen the development of Thomson ONE Portfolio for performance attribution and profiling.

Before Thomson, Perez spent eight years as Product Manager for Baseline, an equity analysis tool for portfolio managers. While there he led numerous product-expansion initiatives and helped to create and build Baseline’s consulting services business unit.

Perez is a graduate of New York University, where he received his BA, MA and MBA degrees.

How Stale is your Risk Model?

admin — Sat, 01 Nov 2008 10:31:37 +0000

Daily Risk Changes in September 2008

In this short article, we report some of the dramatic risk changes that occurred during September 2008, and quantify the inaccuracies that occurred with a monthly risk model. The results show that stale risk models seriously misestimated risk during the second half of September. In times like these, there is no justification for using anything other than a risk model that is updated daily.

Author: Anthony Renshaw - PhD

Research Report No. 011

Research Shows Use of Multiple Risk Models Improves Portfolio-Construction Results

admin — Thu, 02 Oct 2008 08:47:27 +0000

Axioma Research Paper Cites the Need for Careful Calibration to Achieve the ‘Boost’ of Using Multiple Risk Models

NEW YORK, October 2, 2008 - The use of multiple risk models can significantly improve the results of a portfolio-construction strategy, according to a new research paper by Axioma, Inc.

The new paper, “Building Better Portfolios by Using More than One Risk Model,” by Anthony Renshaw, PhD, Director of Applied Research at Axioma, describes the implementation of portfolio-construction strategies using two risk models.

Commenting on the paper, Renshaw said, “Two risk models are better than one. In fact, the use of two models produced a performance boost that was highly significant, provided the strategy is carefully calibrated to ensure all of the risk models contribute to the optimal portfolio solution.”

Sebastian Ceria, Chief Executive Officer of Axioma, said, “This exciting research reveals a new and innovative way for practitioners to achieve better results in their portfolio-construction processes.”

In the paper, a second risk model was included into the portfolio construction strategy as a second, independent risk limit constraint. The exact level of this second constraint was calibrated to ensure that both risk models were binding for the optimized portfolio.

This calibration procedure proved superior to existing methods of averaging two or more separate optimizations made with one or more risk models. First, optimality is guaranteed since there is no ad hoc averaging done after optimization. Second, overly conservative solutions are explicitly avoided as the primary tracking error constraint is always binding. Third, there often is a substantial synergistic benefit when both risk models affect the solution.

The challenge to practitioners, noted Renshaw, is that the entire strategy must be carefully calibrated so that both risk models affect the optimal portfolio solution. This cannot be achieved with linear optimization procedures, and requires more sophisticated tools and technology to be effective. “Having a tool that allows you to take into account the interaction of the other constraints with the two risk models is essential to achieving the improved performance demonstrated in our study,” said Renshaw.

Axioma researchers acknowledged that the use of multiple risk models had probably been examined before, but without giving consideration to how the two risk models interacted with the other constraints in a given strategy.

The study used Axioma’s fundamental and statistical factor models for the Japanese market and two separate risk constraints in the portfolio-construction strategy. In all cases, Axioma’s daily fundamental factor Japanese risk model was the primary risk model used to define the tracking error of the portfolio-the primary risk constraint in the portfolio. Three types of secondary constraints were considered for the second risk model: (1) constrain active risk using Axioma’s statistical factor model, (2) constrain total risk using Axioma’s statistical factor model, and (3) constrain specific risk using the specific risk portion of Axioma’s fundamental factor model.

“Building Better Portfolios by Using More than One Risk Model” is available for download at www.axiomainc.com.

Axioma Launches Global Risk Models

admin — Thu, 02 Oct 2008 07:19:02 +0000

Innovative Suite of Fundamental and Statistical Models, Updated Daily, Helps Managers Meet the Challenges of Volatile and Complex Markets

NEW YORK, October 2, 2008 - Axioma, Inc., a leading global provider of decision support, risk analysis and portfolio rebalancing tools for the financial services industry, today announced the launch of a comprehensive suite of global, regional and country-specific risk models.

Axioma’s Robust™ Risk Models are available for the global market, emerging markets, Europe, the U.S., the U.K. and Japan. The suite includes both fundamental and statistical factor models, with all of the risk-model components updated on a daily basis.

Commenting on the new suite, Sebastian Ceria, PhD, founder and Chief Executive Officer of Axioma, said, “Given the high volatility in today’s markets, having daily updates of all risk model components is essential for survival. Additionally, having multiple flavors of risk models in the same platform gives portfolio managers a better understanding of their risk. With Axioma’s Robust Risk Models, portfolio managers can understand where risk is coming from, and act accordingly in a timely fashion, breaking away from the beginning-of-the-month herd.”

Axioma’s innovative suite of global risk models includes a number of key features:

Both fundamental and statistical factor models provide multiple views and a better perspective of risk
Daily updates of all risk-model components enable users to stay on top of volatile markets
Methodological enhancements enable the risk models to adapt quickly to changing risk environments
Factor transparency and industry-standard classifications eliminate the “black box” and ensure alignment with investment objectives
Models can provide additional views where market risk is attributed to countries or industries enabling different perspectives for a more comprehensive decomposition of risk
Format options enable easy integration with any system-all of Axioma’s risk models are offered as flat files or in proprietary formats that integrate seamlessly with Axioma products

Ceria emphasized the value of daily risk-model updates. “Quants have been criticized because too many people appear to be deploying similar strategies. That’s because too many people are using the same risk model and rebalancing at the same time.

Our risk models give clients the power to differentiate their investment strategies by rebalancing at will.”

Robert Stubbs, PhD, Vice President, Research, stressed the importance of considering the entire investment process in the design of the models. “We considered everything from risk estimation and decomposition through to portfolio construction and performance attribution. When you think about the process holistically, you realize how critical the risk estimation process is, and you can see that greater explanatory power in the returns model doesn’t necessarily translate into a superior risk model. That’s why we focused our research on improving risk estimation processes and methodologies. And that’s how we built a new methodology that allows our risk models to be more responsive to shifts in volatility, without simply reducing half-life and introducing noisy changes into the estimates.”

While Axioma advocates the use of multiple risk models, the issue of comparability is critical. Axioma’s fundamental and statistical risk models are built off the same platform, use the same underlying database, and have been built by the same team, thus ensuring comparability.

For clients who prefer to use fundamental models exclusively, Axioma offers significant advantages. Axioma provides transparency into its factor model and uses standard industry classifications, enabling the portfolio manager to obtain a precise view of the sources of risk. In addition, Axioma has developed a proprietary technique to address one of the most common criticisms of risk models: their slowness to adapt to changes in volatility regimes. Axioma’s risk predictions adapt to changes in volatility quickly, without adding unnecessary turnover to the portfolios, resulting in estimates that are accurate, timely and stable.

Axioma’s new risk models were developed and tested with the input of leading practitioners at firms with upwards of $2 trillion in combined assets under management. The development of the models drew upon the risk model and performance attribution components of Goldman Sachs Asset Management’s Portfolio Analytics and Construction Environment (PACE), which Axioma acquired in 2005. PACE provided a solid foundation upon which Axioma developed its own daily risk models.

Axioma’s risk models are offered with clear and attractive pricing, including significant economies of scale for clients making use of the models across multiple locations and regions.

The launch of Axioma’s global risk models represents a significant expansion of the company’s capabilities as provider of a complete suite of solutions for both portfolio construction and risk management.

Olivier d’Assier, President of Axioma Asia and Chief Marketing Officer, said, “Clients know and trust us as a provider of innovative and flexible portfolio-construction tools, and they can now get the same innovation and flexibility in the realm of risk models.”

September 15, 2008: A Market Analysis

admin — Wed, 01 Oct 2008 09:31:53 +0000

This short article analyzes the market situation on September 15, 2008, using Axioma US fundamental risk model.

In addition to identifying the factors that drove returns that day, the results highlight recent changes in market conditions that may be important to portfolio managers.

Author: Anthony Renshaw - PhD

Research Report No. 010

Axioma Advisor eNewsletter - August 2008

admin — Thu, 04 Sep 2008 11:39:38 +0000

August 2008 Issue of Axioma Advisor Now Available

Using Axioma’s Alpha Factor Method To Correct the Misalignment of Alpha Model and Risk Model Factors

admin — Mon, 01 Sep 2008 07:57:23 +0000

Typically, the number of factors used in an alpha or risk model is much lower than the number of assets in the portfolio, or in the investable universe. This short note studies the consequence of this “dimensionality gap” and shows how Axioma’s Alpha Factor™ method can limit the potential impact of the difference between the asset space and the factor space to produce improved realized portfolio performance.

Author: Anthony Renshaw - PhD

Research Report No. 009

Portfolio Construction Strategies Using More Than One Risk Model

admin — Fri, 01 Aug 2008 07:53:55 +0000

Using more than one risk model in a portfolio construction strategy allows a portfolio manager to exploit the fact that different risk models measure and capture risk differently. Having both a fundamental and statistical risk model simultaneously in the strategy ensures that the optimized portfolio reflects both points of view. Two risk model strategies can produce just as conservative portfolios and better overall performance than one risk model alone provided that the strategies are calibrated so that both risk models affect the optimal portfolio solution.

Author: Anthony Renshaw - PhD

Research Report No. 008

Using Axioma Portfolio Optimizer™ to Create Better 130/30 Strategies

admin — Thu, 31 Jul 2008 06:15:02 +0000

8 Reasons Why Axioma Portfolio Optimizer is the Best Optimizer for 130/30 Strategies.

This sponsor statement appeared in Institutional Investor: A Guide to 130/30 Strategies. Summer 2008

Click Cover to Download PDF

Real World Case Studies in Portfolio ConstructionUsing Robust Optimization

admin — Tue, 15 Jul 2008 07:20:00 +0000

Robust portfolio optimization has been a core feature of Axioma’s portfolio construction tools for years, and many of our clients use robust optimization in their portfolio construction processes to deliver higher value added. This study reports a series of real world portfolio construction case studies documenting different approaches for implementing robust portfolio optimization and their benefits. The results provide guidance for designing robust portfolio construction strategies.

Author: Anthony Renshaw - PhD

Research Report No. 007

Axioma Receives Strong Reception at CARISMA 4

admin — Mon, 07 Jul 2008 06:21:57 +0000

London, July 7, 2008 - The 4th Annual CARISMA Conference in London this July billed itself as a forum for leading practitioners and academics focused on financial planning, optimization and risk modeling-and so it proved to be. And with the challenges brought on by increased market volatility, the forum proved particularly receptive to Axioma’s innovative advancements in multi-portfolio optimization and robust portfolio construction.

Organized by the Centre for the Analysis of Risk and Optimization Modeling Applications (CARISMA) and West London’s Brunel University, this year’s conference was by far the largest and most successful to date. Dr. Pamela Vance, Axioma’s Senior Director - Client Services, was among the featured speakers, delivering a compelling presentation on Axioma’s innovative multi-portfolio optimization process. Her talk was complemented by a workshop on robust portfolio construction conducted by Dr. Adrian Zymolka, Director - Client Services in London.

“This was an excellent group, with a strong showing of both prominent academics and sophisticated practitioners,” said Vance. “The level of sophistication was reflected in the interest shown in our multi-portfolio optimization solution. Axioma is uniquely positioned to address the scalability issues that arise when managing large numbers of portfolios, and people clearly had a sense of that, based on the questions we received.”

Vance noted that fairness was one of the recurring themes of the conference, which also spoke to the strengths of Axioma’s multi-portfolio approach. “Interest in the fairness issue has been percolating over the last couple of years and it seems to be picking up. At the end of the day, it’s up to the user to define what is fair, but our multi-portfolio solution gives the user tremendous flexibility to model one’s particular view of fairness and that is a very significant advantage.”

Added Zymolka, “The mix of academics and practitioners is one of the things that makes this particular conference so interesting. While it is sometimes difficult for academics and users to find common ground, they all get excited about innovative solutions. And that’s where Axioma plays a very interesting role. Because we do so much research, and because we have earned a reputation for innovation, we are a bridge between the worlds of the academics and the practitioners. Axioma, in effect, is fluent in both languages, the theoretical and the practical.”

Zymolka was particularly pleased with the response of attendees to his workshop. “People were very interested in our robust portfolio optimization because it helps you to address the uncertainty around you. With the volatility we are seeing today, it is essential to let your optimizer know about it. And that is precisely what Axioma’s robust portfolio optimization does.”

Zymolka also noted the abundance of thought leaders at the conference. “I met some former professors who had been working in the field for 40 years. I even met some people who had personally known (Harry) Markowitz. So the quality of the attendees was very high, which led to some very stimulating exchanges.”

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 with additional offices in Atlanta, San Francisco, London, Hong Kong, and Singapore, Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency. For more information about Axioma, please contact Reid Gearhart at 914.734.1191, Ellen Kiernan at 212.991.4503, or visit the company’s website at www.axiomainc.com.

Risk Model Reliability: Daily vs. Monthly Re-Estimation

admin — Tue, 01 Jul 2008 07:12:59 +0000

Research demonstrates significant risk model errors are likely when risk models are not up-to-date.

Author: Anthony Renshaw, PhD

Research Report No. 006

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Axioma Advisor eNewsletter - May 2008

admin — Thu, 01 May 2008 05:31:44 +0000

May 2008 Issue of Axioma Advisor Now Available

Diagnosing When Leverage Will Benefit Active Equity Funds

admin — Tue, 01 Apr 2008 07:02:20 +0000

Axioma’s Applied Research team offers a practical method for predicting when leverage is likely to improve the performance of a long-only portfolio.

Author: Anthony Renshaw, PhD

Research Report No. 005

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