“As the demand for low volatility investment strategies that reduce the risk of a portfolio and essentially improve its long term returns becomes increasingly stronger, STOXX, in collaboration with Axioma, launches its new suite of STOXX+ Minimum Variance Indices,” said Hartmut Graf, chief executive officer, STOXX Limited. “The new index family will offer two different versions for each index: a constrained and an unconstrained one. The latter is a novelty as it provides a strategy index that is minimized for volatility, but not restricted to follow an underlying base index too closely.”

Ian Webster, Axioma’s managing director EMEA said: “Minimum variance strategies have excited a lot of academic and institutional interest. By combining the portfolio construction expertise and quality risk modelling of Axioma with the strengths of STOXX’s innovative, rulebook based indexing approach, we have been able to create indices that replicate these strategies with their robust risk adjusted returns.”

The STOXX+ Minimum Variance Indices are the first offering to be categorized under the STOXX+ brand, which includes all STOXX indices replicating highly innovative investment strategies and themes while still following STOXX’s strict rules-based methodologies.

The basis for each of the STOXX+ Minimum Variance Indices is one of STOXX’s broad regional or country indices. The objective of the new indices is to provide access to the respective markets by varying the weights of the stocks of the underlying broad indices in such a way that the overall portfolio of the new index has the lowest possible volatility. In order to achieve robust results, a covariance matrix that is estimated using a fundamental factor model developed by Axioma is used. For each index, a constrained as well as an unconstrained version is available. The constrained index version is based on a composition
that is very similar to the underlying index, but possesses a lower risk profile. This index version will enable market participants to closely follow a certain benchmark index and still benefit from a risk optimized portfolio. The unconstrained index version might differ more strongly from the underlying index, while offering the potential benefit of an even better risk profile.

In the constrained versions of the STOXX+ Minimum Variance Indices, the exposure to the Axioma factors is limited to one-quarter standard deviation of the underlying index’s exposure, with the exception of size and risk, which are not used as constraints. Further constraints include full investability, component weight capping, diversification, turnover, and capping of the exposure to currencies and to industry exposure. The unconstrained versions of the indices are not subject to any factor, currency or industry exposure requirements.

The constrained versions of the STOXX+ Minimum Variance Indices are rebalanced quarterly in line with the respective underlying index. The unconstrained versions are rebalanced on a monthly basis. The STOXX+ Minimum Variance Indices are calculated in price, net and gross return versions and are available in Euro, US dollar, as well as Canadian dollar for the Canada indices. Price return versions are calculated in real-time, while net and gross return versions are available at the end of day.

The following indices will be available:
Constrained Version
Unconstrained Version
STOXX+ North America 600 Minimum Variance Index
STOXX+ North America 600 Minimum Variance Unconstrained Index
STOXX+ Asia/Pacific 600 Minimum Variance Index
STOXX+ Asia/Pacific 600 Minimum Variance Unconstrained Index
STOXX+ Europe 600 Minimum Variance Index
STOXX+ Europe 600 Minimum Variance Unconstrained Index
EURO STOXX+ Minimum Variance Index
EURO STOXX+ Minimum Variance Unconstrained Index
STOXX+ Global 1800 Minimum Variance Index
STOXX+ Global 1800 Minimum Variance Unconstrained Index
STOXX+ Global 3000 Minimum Variance Index
STOXX+ Global 3000 Minimum Variance Unconstrained Index
STOXX+ BRIC 400 Minimum Variance Index
STOXX+ BRIC 400 Minimum Variance Unconstrained Index
STOXX+ Canada 240 Minimum Variance Index
STOXX+ Canada 240 Minimum Variance Unconstrained Index
STOXX+ US 900 Minimum Variance Index
STOXX+ US 900 Minimum Variance Unconstrained Index
STOXX+ Hong Kong 210 Minimum Variance Index
STOXX+ Hong Kong 210 Minimum Variance Unconstrained Index
STOXX+ Australia 150 Minimum Variance Index
STOXX+ Australia 150 Minimum Variance Unconstrained Index
STOXX+ Japan 600 Minimum Variance Index
STOXX+ Japan 600 Minimum Variance Unconstrained Index
STOXX+ Italy 45 Minimum Variance Index
STOXX+ Italy 45 Minimum Variance Unconstrained Index
STOXX+ UK 180 Minimum Variance Index
STOXX+ UK 180 Minimum Variance Unconstrained Index

For further information, please visit stoxx.com.

# # #
Media contact:

Andrea Weidemann, andrea.weidemann@stoxx.com, Phone: +41 58 399 3568

Note to Editors:
About STOXX Limited
STOXX Ltd. is a global index provider, currently calculating a global, comprehensive index family of over 4,300 strictly rules-based and transparent indices. Best known for the leading European equity indices EURO STOXX 50, STOXX Europe 50 and STOXX Europe 600, STOXX Ltd. maintains and calculates the STOXX Global Index family which consists of total market, broad and blue-chip indices for the regions Americas, Europe, Asia, and Pacific, the sub-regions Latin America and BRIC (Brazil, Russia, India and China), as well as global markets.

STOXX indices are classified into four categories to provide market participants with optimal transparency: “STOXX”, “STOXX+”, “iSTOXX” and “STOXX Customized”. STOXX’s standard indices are branded “STOXX”, all indices that replicate investment strategies and themes, but still follow STOXX’s strict rules-based methodologies, are categorized as “STOXX+”. The “iSTOXX” brand comprises less standardized index concepts that take into account individual customer and market requirements but are still completely rules-based. “STOXX Customized” covers indices that are specifically developed for clients and are not STOXX branded.

The STOXX indices are licensed to over 400 companies around the world as underlyings for Exchange Traded Funds (ETFs), Futures & Options, Structured Products and passively-managed investment funds. Three of the top Exchange Traded Funds (ETFs) in Europe and 30 percent of all assets under management are based on STOXX indices. STOXX Ltd. holds Europe’s number one and the world’s number three position in the derivatives segment.
In addition, STOXX Ltd. is the marketing agent for the indices of Deutsche Boerse AG and SIX, amongst them the DAX and the SMI indices.

STOXX Ltd. is part of Deutsche Boerse AG and SIX. www.stoxx.com

STOXX does not make any warranties or representations, express or implied with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data. STOXX is not providing investment advice through the publication of the STOXX® indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX on the merits of that company. Financial instruments based on the STOXX® indices are in no way sponsored, endorsed, sold or promoted by STOXX.

“Compared with the end of the fourth quarter, risk fell substantially for most of the benchmarks we track, although risk remained higher in most cases than it was a year ago,” noted Melissa Brown, Senior Director, Applied Research.  “At the end of last quarter our four risk model variants were largely in agreement in most markets, and we noted that investors might be less likely to see a ‘risk surprise’.  In fact, they may have been surprised by the drop in risk during the first quarter, but that is generally a pleasant surprise.”

According to the latest Quarterly Risk Review, risk forecasts for the FTSE Eurobloc fell the most from the end of the fourth quarter, in both USD and EUR terms.  However, Eurobloc-related benchmarks continued to have the highest risk forecasts.  The only benchmark to see a decline in risk on a year-ago basis was Japan, reflecting the earthquake and tsunami that occurred in the first quarter of 2011.

Correlations were down very sharply for most of the quarter but 20-day correlations popped back up right at the end of the period, suggesting the longer horizon correlations will follow soon, and also suggesting that risk is likely to increase in the near term.

Axioma’s Quarterly Risk Review is currently available in seven editions:

* Asia Pacific Ex-Japan Edition
* Australia Edition
* China
* Emerging Markets
* European Edition
* Global Developed Edition
* US Edition

Axioma’s Quarterly Risk Review can be accessed on the Axioma Insight page at http://axioma.com/insight.htm.

Axioma’s Quarterly Risk Review is published by Axioma, Inc., a leading provider of decision support, risk analysis and portfolio rebalancing and performance attribution tools.

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, Singapore, Geneva and Sydney, Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency. For more information about Axioma, please contact Topher Wurts at 212.991.4506, or visit the company’s website at www.axioma.com.

]]> http://www.axiomainc.com/newsandresearch/?feed=rss2&p=1025 http://www.axiomainc.com/newsandresearch/?p=1020 http://www.axiomainc.com/newsandresearch/?p=1020#comments Fri, 13 Apr 2012 15:11:10 +0000 admin http://www.axiomainc.com/newsandresearch/?p=1020 Do differences in risk predictions across a range of risk models provide market insight? Axioma produces four different risk models for each country and region, each with its own risk estimate calculated by looking at the data from a different perspective. In 2008 our short-horizon statistical models reacted more quickly and with more factor risk than our medium-horizon, fundamental models because the statistical models picked up a factor that was not “seen” by the fundamental models.

In this article, we show that multiple risk model predictions can potentially identify “danger zones” associated with future market drops. We use two risk metrics – average predicted risk and the maximum difference between Axioma’s four risk model predictions – to identify conditions when the maximum, forward, 90-day drawdown has been significant.

Research Paper No. 040

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Research Paper No. 039

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Investment Europe reports that ‘buyer beware’ is the main message from analytical software provider Axioma to investors in the increasingly popular field of factor-based ETFs

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New York— March 5, 2012 — The NASDAQ OMX Group, Inc. (NASDAQ:NDAQ) and Axioma, Inc. announced today a new family of indexes that use equities to provide exposure to the spot prices of commodities.

“These indexes deliver exposure to commodity prices by using equities whose share prices track prices for gold, oil or a basket of agriculture products,” said John Jacobs, Executive Vice President, NASDAQ OMX Global Index Group.

The NASDAQ Axioma indexes offer an efficient way for portfolio managers to better match their returns with those of the overall oil, gold and agricultural markets. The indexes are rebalanced monthly and holdings information is available every business day.

“This is a valuable new tool for portfolio managers and other market participants who track commodities, particularly in this environment of increasingly volatile and complex markets,” added Jacobs.

Ian Webster, Axioma’s Managing Director EMEA, said, “The NASDAQ Axioma indexes are unique in terms of content, methodology, pricing and ease of access. By using Axioma’s portfolio construction and analytical tools to develop these indexes, we’ve created a product that allows easy access to commodity exposure—access that is typically much more difficult to obtain.”

The NASDAQ Axioma Equity-Commodity Index Series consists of three price and total return indexes—the NASDAQ Axioma Equity-Commodity Oil Index, the NASDAQ Axioma Equity-Commodity Gold Index and the NASDAQ Axioma Equity-Commodity Agriculture Index.

About NASDAQ OMX Global Index Group
NASDAQ OMX Global Index Group is engaged in the design, development, calculation, and licensing of NASDAQ OMX Indexes. NASDAQ OMX Global Index Group specializes in the development of indexes focusing on NASDAQ OMX’s brand themes of innovation, technology, growth and globalization. NASDAQ OMX Global Index Group also provides custom index services and design solutions as a third-party provider to selected financial organizations. For more information about NASDAQ OMX indexes, visit www.nasdaqomx.com/indexes.

About NASDAQ OMX Group
The inventor and transformer of the electronic exchange, The NASDAQ OMX Group, Inc., fuels economies with revolutionary technologies for the entire lifecycle of a trade - from risk management to trade to surveillance to clearing. In the US and Europe, we own and operate 24 markets, 3 clearinghouses and 6 central securities depositories supporting equities, options, fixed income, derivatives, commodities, futures and structured products. Able to traffic more than 1 million messages per second at sub-80 microsecond speeds with 99.999% uptime, our technology drives more than 70 exchanges in 50 developed and emerging countries into the future, powering 1 in 10 of the world’s securities transactions. Our award-winning data products and worldwide indexes are the benchmarks in the financial industry. Home to 3,400 listed companies worth $5.1 trillion in market cap whose innovations shape our world, we give the ideas of tomorrow access to capital today. Welcome to where the world takes a big leap forward, daily.  Welcome to the NASDAQ OMX Century.  To learn more, visit www.nasdaqomx.com. Follow us on Facebook (http://www.facebook.com/NASDAQ) and Twitter (http://www.twitter.com/nasdaqomx). (Symbol: NDAQ and member of S&P 500)

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, Singapore, Geneva and Sydney, Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency. For more information about Axioma, please contact Topher Wurts at 212.991.4506, or visit the company’s website at www.axiomainc.com.

Axioma Risk Model Machine, Axioma Portfolio Optimizer, Axioma Portfolio-Attribution and Axioma Backtester, Axioma Risk Analysis are trademarks of Axioma, Inc.

Cautionary Note Regarding Forward-Looking Statements
The matters described herein contain forward-looking statements that are made under the Safe Harbor provisions of the Private Securities Litigation Reform Act of 1995. These statements include, but are not limited to, statements about the NASDAQ Axioma Equity- Commodity Index Series and NASDAQ OMX’s other products and offerings. We caution that these statements are not guarantees of future performance. Actual results may differ materially from those expressed or implied in the forward-looking statements. Forward-looking statements involve a number of risks, uncertainties or other factors beyond NASDAQ OMX’s control. These factors include, but are not limited to factors detailed in NASDAQ OMX’s annual report on Form 10-K, and periodic reports filed with the U.S. Securities and Exchange Commission. We undertake no obligation to release any revisions to any forward-looking statements.

Media Contacts:

Wayne Lee, NASDAQ OMX
+1.301.978.4875
Wayne.D.Lee@NASDAQOMX.com

Danae Mercer, Kwittken + Company
+44.020.7401.8001
+44.077.5753.5968 (Mobile)
dmercer@kwitco.com

AllAboutAlpha.com reported on Axioma’s most recent Quarterly Risk Review, highlighting the US, European, and China editions.

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Chris Canova, vice president of product management and strategy, discusses  Axioma’s upgraded Risk Model Machine.  “This second release is the result of working with clients over the past six months on innovative research to create new features for Risk Model Machine. It takes users from a research environment to more of a production environment.”

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NEW YORK – February 21 – Axioma, a leading provider of decision support, risk analysis and portfolio rebalancing and performance attribution tools, today announced v 7.2 of the Axioma Risk Model Machine™, the only tool on the market that enables clients to build customized risk models specifically tuned to their own investment processes.

“The Risk Model Machine has proven itself and is delivering value for a growing number of our clients,” said Chris Canova, Vice President of Product Management and Strategy. “We are now taking this product to the next level of performance with an enhancement that dramatically improves the speed of model generation, plus a new module that gives users the ability to test and validate the quality of the models they create.”

Introduced in July 2011, the Risk Model Machine allows clients to build their own proprietary risk models using Axioma’s IP, content and proven core models as the foundation. Clients then adjust factors and other parameters to tailor the models to their own specific investment process and approach.

The Risk Model Machine v 7.2 includes a new solution that dramatically reduces model production time.

“We have reduced full history production time to a matter of hours,” said Kristen Donnino, Director of Product Management. “And once a model is created, daily updates and ongoing model maintenance take a matter of seconds.”

The new version also includes a diagnostics application that allows clients to evaluate and enhance the quality of the models they build.

“The Risk Model Machine’s new diagnostics app identifies any undesirable or unwanted correlations in the factors being used, which could lead to model instability,” said Donnino.

Identifying undesirable correlations allows clients to quickly exclude those factors and to move forward with the model-construction process.

Further enhancements allow the Risk Model Machine v 7.2 to interact smoothly with Axioma Portfolio Optimizer v 6.9.

“The Risk Model Machine and the Optimizer are now on excellent speaking terms, which means that it is possible to put your custom risk models into production very efficiently—custom models now flow through the optimizer in a very seamless way,” said Canova.

In addition to the new diagnostics application, users receive streams of progress messages and statistics that help guide the model-construction process in real time.

“Collaborative client relationships have played an essential role in the development and refinement of the Risk Model Machine and more enhancements are in store for this exciting breakthrough product,” said Canova.

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, Singapore, Geneva and Sydney, Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency. For more information about Axioma, please contact Topher Wurts at 212.991.4506, or visit the company’s website at www.axiomainc.com.

Axioma Risk Model Machine, Axioma Portfolio Optimizer, Axioma Portfolio-Attribution and Axioma Backtester, Axioma Risk Analysis are trademarks of Axioma, Inc.

Axioma’s Ian Webster reveals that risk in European markets is currently being driven more by countries than sectors and that sector returns have become highly correlated. But a growing sector value spread may point to the next alpha opportunities

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“Agreement among our four risk models increased in developed markets in the fourth quarter,” noted Melissa Brown, Senior Director, Marketing. “Short-horizon models may lead their medium-horizon counterparts as risk changes, and statistical models may pick up new or different factors that are not detected by their fundamental counterparts, so we may be less likely to be in for a “risk shock” than we have been for a while.”

According to the latest Quarterly Risk Review, benchmark risk continued to rise globally at the end of 2011, although it peaked during the quarter and fell from that peak through the end of the quarter. Eurobloc markets, especially the so-called PIIGS (Portugal, Ireland, Italy, Greece and Spain), led the pack in predicted risk, in both local and USD terms. Japan and Australia (in local currencies) had the lowest risk, joined by non-Eurobloc euro-denominated benchmarks.

In developed markets, stock correlations eased at the end of the year, although there were still only a small percentage of stocks with negative correlations in most regions. However, Axioma’s analysis found that the change in risk for the quarter was largely the result of the change in volatility, not correlation. Currency correlations in developed markets hit a new high at the end of 2011.

Across the globe, a low volatility strategy would have been the most profitable in 2011 among the style factors tracked by Axioma—albeit with higher risk—and, in general, medium-term momentum produced positive returns for the first three quarters of the year.

Axioma’s Quarterly Risk Review is currently available in five editions:
* Asia Pacific Ex-Japan Edition
* Australia Edition
* European Edition
* Global Developed Edition
* US Edition

Two additional editions are currently in development, for China and Emerging Markets.

Axioma’s Quarterly Risk Review can be accessed on the Axioma Insight page of the company’s website

Axioma’s Quarterly Risk Review is published by Axioma, Inc., a leading provider of decision support, risk analysis and portfolio rebalancing and performance attribution tools.

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, Singapore, Geneva and Sydney, Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency. For more information about Axioma, please contact Topher Wurts at 212.991.4506, or visit the company’s website at www.axioma.com.

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Axioma Risk Models offer a wide range of regional and style-base models that are recalibrated daily, with re-estimations and production of factor exposures, covariance matrices, and asset specific risks. This is an important differentiator for this partnership in a market where monthly recalibration of equity factor models is the norm. With Axioma data available through Algo Risk Service, Algorithmics’ clients can draw on reports from Axioma’s multi-factor equity models to improve their equity coverage and consistency between their front and middle office.

Dr Sebastian Ceria, CEO, Axioma, said: “The benefits of working with Algorithmics are very clear to us. Most clients want to achieve modeling consistency between the risk-focused middle office and investment-oriented portfolio managers in the front office; our collaboration with Algorithmics provides that consistency of equity risk. Axioma’s front office clients will enjoy consistent modeling with their middle office risk departments.”

Dr Andrew Aziz, Executive Vice President of Buy-Side Risk Solutions at Algorithmics, said: “Axioma’s reputation as an innovator in equity modeling complements Algorithmics’ commitment to innovation. For our clients, this relationship with Axioma offers modeling across all asset classes and the convenience of having the model as part of Algo Risk Service. Importantly, it also gives clients the flexibility to introduce patented equity modeling as part of their custom solution while maintaining consistency with the Axioma models used by their front offices. As we evolve our solutions for the buy side, we continue to recognize the importance of being able to offer customizable solutions to meet our clients’ needs.”

For more information on Axioma’s multi-factor equity models, please visit http://www.axioma.com/robust.htm

For more information about Algorithmics’ award-winning enterprise risk solutions, visit:
http://www.algorithmics.com/EN/solutions

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Research Paper No. 037

“Axioma Insight will provide our readers with unique and valuable perspectives on the state of risk in key investment markets worldwide,” said Sebastian Ceria, Chief Executive Officer of Axioma.  “Each quarter we will examine both how the investment landscape is changing and the factors driving those changes.  By capitalizing on Axioma’s strengths in research, and leveraging the power of our innovative tools and analytics, I am confident that Axioma Insight will deliver on its promise of providing penetrating, actionable insights to our clients.”

Melissa Brown, Senior Director of Marketing and Chief Analyst for Axioma Insight, added, “Our goal is to look behind the numbers to understand in-depth what’s actually driving the predicted risk of a given portfolio, so that our readers, in turn, can better understand the risk environment in which they have been and will be investing.  We particularly welcome the active participation of our readers, whose critical feedback and observations will undoubtedly enhance the value of Axioma Insight going forward.”

Scott Hamilton, Director of Client Services at Axioma, is also a key contributor of research and analysis for Axioma Insight.

Among the important observations in the inaugural issue of Axioma Insight are:

* Volatility rose in each region and globally, with the “market factor” accounting for a large proportion of the gain, as common themes drove risk during the quarter.
* Predicted risk from the short-horizon models increased in all regions during the quarter relative to the medium-horizon models, pointing to a near-term environment of increasing risk.  For most regions the increase occurred in August.  The divergence stabilized over the next two months, but in Asia the difference grew throughout the quarter, especially for the statistical model.  This rising spread suggests that a factor not identified by the fundamental model is behind the increase in risk for Asia.
* Across the globe, style factor returns took a wild ride during the quarter, bouncing from unusually high to unusually low returns throughout the period.
* 60-day stock-stock correlations remained near their 12-year peak, and the percent of stocks with negative correlations within each region was close to zero, suggesting that stock picking has been a very difficult endeavor.  More recently, correlations appear to be declining.
* Similarly, cross-sectional predicted volatility—whether for stocks, industries, countries, currencies, or style factors—fell substantially in all regions, underscoring the difficulty facing managers to differentiate themselves.

Readers are invited to download Axioma Insight at http://axioma.com/insight.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 offices in Atlanta, Geneva, Hong Kong, London, San Francisco, Singapore and Sydney, Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency. For more information about Axioma, please contact Topher Wurts at 212.991.4506, or visit the company’s website at www.axioma.com.

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“Melissa brings a wealth of research, marketplace and client-management experience to Axioma, and she is a most welcome addition to our team,” said Sebastian Ceria, Chief Executive Officer of Axioma.  “She will lead our efforts to deliver more value and insights to our clients by enhancing the flow of timely research reports and publications based on Axioma’s analysis, data and tools.”

Added Brown, “Axioma is at the forefront as a leading provider of investment analytics to both portfolio managers and asset owners.  This is an exciting opportunity for me to use my diversified experience to provide our clients with analysis and insights that capitalize on Axioma’s innovative products, services and research capabilities.”

At Goldman Sachs Asset Management, Brown worked closely with clients as the senior portfolio manager for GSAM’s US Equity Strategy, before becoming co-head of Client Portfolio Management in the Quantitative Investment Strategies (QIS) Group.  She was previously Director of Quantitative Research at Prudential Securities.  Brown is a Chartered Financial Analyst.  She holds a BS in economics from the University of Pennsylvania’s Wharton School, and an MBA in finance from New York University.

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 offices in Atlanta, Geneva, Hong Kong, London, San Francisco, Singapore and Sydney, Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency. For more information about Axioma, please contact Topher Wurts at 212.991.4506, or visit the company’s website at www.axiomainc.com.

“Claude’s extensive and impressive career at IBM displays remarkable technical ability coupled with excellent business expertise,” said Ceria.  “These traits are especially important in an environment where market conditions have created tremendous demand for sophisticated risk models and knowledgeable risk experts.  Claude will be a valuable resource for our clients looking to create and advance custom risk management and portfolio optimization strategies.”

Axioma, which has increased its employee base by 50% since the fourth quarter of 2008, recently made a series of announcements including: the launch of the Axioma Risk Model Machine™, a singular offering that allows clients to build customized risk models specifically tuned to their own investment processes; a partnership with Russell Indexes which produced a series of 10 U.S. equity ETFs called the Russell Factor ETFs; version 2.1 of its enhanced Global and Regional Risk Model; the opening of an office in Australia; and its place on the 2011 list of the top 100 private companies in North America by Red Herring.

While at IBM, Greengard began as an applied math researcher and became the director of research for the applied math department.  He then moved to the financial services sector where he held a number of diverse roles, first as a manager and then as the innovation and transformation executive.  In 2003 he extended his role within IBM Global Services as a director of global innovation before becoming chief technology officer for the IBM Sales & Distribution Division, ultimately rising to vice president, technical sales for IBM Global Technology Services.

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, Singapore, Sydney and Geneva, Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency. For more information about Axioma, please contact Topher Wurts at 212.991.4506, or visit the company’s website at www.axioma.com.

“Europe is an important growth market for Axioma, with client demand for our innovative and sophisticated risk analysis tools increasing as the ability to make money becomes ever more challenging,” said Sebastian Ceria, Chief Executive Officer of Axioma. “Ian brings a combination of talent and experience to Axioma that will help us both to drive our growth and to strengthen our competitive position in Europe.”

Webster succeeds Olivier d’Assier, who assumed the role of Managing Director for Europe in addition to his responsibilities as Managing Director for Asia Pacific back in 2008. D’Assier, will now focus exclusively on Axioma’s rapidly expanding operations in Asia Pacific.

“I have known Ian for many years and—given our ambitious plans for Europe and for our global benchmark initiative—I am confident that his unique blend of vendor-client experience and strategic thinking will be a great asset to Axioma and our clients,” said d’Assier.

Webster was most recently Global Head of Data Management and Corporate Actions at UBS Global Asset Management. He previously held senior positions at several buy-side institutions and financial information and software companies, including Barclays Global Investors and Barra.

“With its innovative products and collaborative approach to client relationships, Axioma has grown rapidly in Europe—and I am eager to help accelerate that growth,” said Webster. “Axioma has also opened up a market for a more sophisticated approach to the creation of indices, and I am excited about the opportunity to further develop this space.”

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, Geneva, Hong Kong, Sydney and Singapore, Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency. For more information about Axioma, please contact Topher Wurts at 212.991.4506, or visit the company’s website at www.axioma.com.

Research Paper No. 036

NASDAQ OMX is the leading provider of equity and fixed income indexes in the Nordic region, calculating a total of about 1,300. Through this agreement, all NASDAQ OMX Nordic indexes will be added to Axioma’s new risk modeling capabilities including the key benchmarks the OMX Stockholm 30 Index and the OMX Stockholm Benchmark Index.

Axioma’s daily risk models will help portfolio managers who track the Nordic markets meet the challenges of increasingly volatile and complex markets. With the ability to use Axioma’s multiple risk models simultaneously, portfolio managers will have a better perspective of where their risk is coming from and be able to act on that insight in a more timely fashion.

“In today’s markets, risk management is essential to a comprehensive investment strategy,” said Magdalena Hartman, Vice President, NASDAQ OMX Global Index Group. “That’s why we are delighted to have Axioma include NASDAQ OMX Nordic indexes in their risk models. As a result of this development, portfolio managers will be able to more effectively align their risk model usage with their investment objectives.”

“The Nordic countries are very important markets for our client base,” said Ian Webster, Managing Director Europe for Axioma. “We have been working to strengthen our risk modeling capabilities in the region and are pleased to offer our clients products from NASDAQ OMX, a leader in global benchmark indexes.”

About NASDAQ OMX Global Index Group

NASDAQ OMX Global Index Group calculates thousands of indexes that empower investors and financial decision-makers around the world to track, evaluate and benchmark the economy. Our index creation process is completely objective, transparent and rules-based, driven by the demand of the global markets. NASDAQ OMX is also the largest provider of equity and fixed income indexes in the Nordic and Baltic region and calculates over 1,300 Nordic and Baltic specific indexes, with tradable, all share, sector, and benchmark versions. For the latest information on NASDAQ OMX indexes, visit www.nasdaqomx.com/indexes.

About NASDAQ OMX Group

The NASDAQ OMX Group, Inc. is the world’s largest exchange company. It delivers trading, exchange technology and public company services across six continents, with more than 3,500 listed companies. NASDAQ OMX offers multiple capital raising solutions to companies around the globe, including its U.S.

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, Geneva, Hong Kong, Sydney and Singapore, Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency. For more information about Axioma, please contact Topher Wurts at 212.991.4506, or visit the company’s website at www.axioma.com.

Research Paper No. 035

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Research Paper No. 034

We analyze market trends over the last three months using Axioma’s daily fundamental factor risk model. We assess factor performance by creating long-only portfolios that either maximize or minimize their exposure to one risk factor while remaining neutral to all other factors in Axioma’s risk models. The relative performance of these portfolios compared with the benchmark produces a risk-adjusted factor return that indicates the relative performance of that factor.

Research Paper No. 033

Research Paper No. 032

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“We are constantly innovating products and pushing technology further to navigate an increasingly complex and global investing environment that has more variables, more hidden risk and elusive alpha,” said Sebastian Ceria, CEO of Axioma. “It is gratifying to be selected as a top private company by a publication known for its astute appreciation of progressive technology.”

Most recently, Russell Investments partnered with Axioma on the first comprehensive series of Factor ETFs designed to offer practical solutions to help sophisticated investors manage risk exposures within their portfolios. Axioma also released the Axioma Risk Model Machine™, a distinctive tool that allows clients to build customized risk models specifically tuned to their own investment processes.

Red Herring’s 2011 list of the Top 100 Private Companies in North America identifies “the most promising new business models in North America” and has become a mark of distinction for identifying rising new companies and entrepreneurs. This assessment of potential is complemented by a review of the track record and standing of startups relative to their sector peers, allowing Red Herring to see past the “buzz” and make the list a valuable instrument of discovery and advocacy for the most promising new business models in North America. Red Herring editors were among the first to recognize the potential of companies such as Facebook, Twitter, Google, Yahoo, Skype, Salesforce.com, YouTube, and eBay.

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, Singapore, Geneva and Sydney,  Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency. For more information about Axioma, please contact Topher Wurts at 212.991.4506, or visit the company’s website at www.axioma.com.

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

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NEW YORK – June 15 – Axioma, a leading provider of decision support, risk analysis and portfolio rebalancing and performance attribution tools, announced today the launch of the new Axioma Risk Model Machine™, a unique new tool that allows clients to build customized risk models specifically tuned to their own investment processes.  With risk management becoming an increasingly critical focus of portfolio management, Axioma’s new generation of customizable risk models enables clients to better manage the trade-off between risk and return, while enhancing the performance of their overall investment process.

“This is a game-changer,” said Sebastian Ceria, CEO of Axioma.  “Our customizable risk models mean that clients are no longer confined to an off-the-shelf approach.  Clients can now build their own proprietary risk models, locally and on site, using our IP, content and proven core models as the foundation, while adjusting factors and other parameters as they wish, so that the models they create are tailored specifically to their own process and approach.”

Focusing on the value of the new models, Ceria said: “With a tight fit to the client’s investment process, customizable risk models deliver better forecasts of risk.  Customized risk models allow clients to achieve enhanced alignment between their risk and return factor models, thus avoiding undesired risk exposures.”

The Axioma Risk Model Machine™ deploys the proven business logic and statistical techniques developed for Axioma’s own fundamental and statistical risk models.

Axioma’s time-tested models and best-practice research methodologies provide a solid foundation on which to build custom risk models.  Clients then incorporate their own asset factor exposures and views on model responsiveness to create their own customized, proprietary risk models on site.

Brad Thilges, product manager for Axioma’s Risk Model Machine, said: “By adding their own style factors to our risk models, clients can mitigate the misalignment that occurs between risk factors and alpha factors during portfolio construction.  Clients can also perform risk and return decompositions with their customized models, increasing transparency in internal and external reporting.  By specifying the clients control the responsiveness of risk forecasts, creating yet more consistency in the inputs into investment decision-making.”

“We believe Axioma’s approach to customizable risk models offers clients the best of both worlds—customized, proprietary risk models fitted to their unique investment processes, and the confidence that comes from building those models on Axioma’s thoroughly tested rock-solid platform,” added Thilges.

The custom risk models generated by the Risk Model Machine are fully compatible with Axioma Portfolio Optimizer™, Axioma Portfolio-Attribution™, Axioma Backtester™, and Axioma Risk Analysis™.  The models can also be readily exported to a common file format for use with third-party software.

From a functional perspective, Axioma’s Risk Model Machine builds each customized risk model from the ground up.  Users choose an Axioma risk model to customize—either fundamental or statistical—before selecting parameters to customize (factor exposures, half life, style factors, etc).  Users then specify the date range over which to build the new daily model.

Axioma’s Risk Model Machine utilizes an intuitive, easy-to-use GUI that allows clients to build and edit custom risk models quickly.  The output includes both the model itself and a diagnostic report that assesses the quality of the model.  The Risk Model Machine supports both research and production workflows where automated processing is critical.

“Five years ago, Axioma became the first commercial risk model provider to introduce daily risk models that included both statistical and fundamental flavors—an innovation that is now well on its way to becoming the industry standard,” said Ceria.  “We have now taken another quantum leap forward with the launch of the Risk Model Machine.”

Ceria noted that key design elements and features of Axioma’s Risk Model Machine emerged directly from intensive research and discussions with clients, who played an important role in shaping the final product.

Concluded Ceria: “The value of the collaborative relationships we enjoy with our clients cannot be overstated.  Our clients wanted a better risk model and by working together we have created a solution that achieves precisely that.”

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, Singapore, Geneva and Sydney, Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency. For more information about Axioma, please contact Topher Wurts at 212.991.4506, or visit the company’s website at www.axiomainc.com.

Axioma Risk Model Machine, Axioma Portfolio Optimizer, Axioma Portfolio-Attribution and Axioma Backtester, Axioma Risk Analysis are trademarks of Axioma, Inc.