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