Market Equity Model Suite builds on decades of MSCI’s experience in constructing both global equity indexes and risk models for the global equity investor. The model introduces Systematic Equity Strategies for the first time in a Barra global equity model, in addition to delivering rich global datasets, point-in-time fundamental. Airserver 6 0 2. Risk model – Having non-zero orthogonal components. Base Model = US2AxiomaMH (Axioma Fundamental Model) Benchmark = Russell 3000. Monthly backtest, 1999-2009.
Axioma has unveiled a new tool which will allow clients to construct customized risk models according to their own investment processes. The Axioma Risk Model Machine uses the business logic and statistical techniques built for Axioma’s own fundamental and statistical risk models.
The custom risk models created by the machine are compatible with Axioma Portfolio Optimizer, Axioma Portfolio-Attribution, Axioma Backtester and Axioma Risk Analysis. The machine provides output that includes both the model itself and a diagnostic report that assesses the quality of the model.
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NEW YORK, March 12, 2020 /PRNewswire/ -- Qontigo, aninvestment intelligence leader and provider of best-of-breedanalytics and world-class indices, has announced the release of theAxioma North America Equity Factor Risk Model (AXNA4). This nextgeneration model includes additional market factors for superiorperformance and risk attribution analysis.
The new AXNA4 model covers roughly 10,400 securities for bothUnited States Formentry 2 4 4 download free. and Canadian marketsincluding ADRs and foreign listings of North American issuerstrading in other geographies.
'Our latest North America modelstresses improvements to the structure and methodology of factors,'said Alessandro Michelini, ManagingDirector of Front Office Solutions at Qontigo. 'These enhancementsprovide investors with a clear understanding of factor exposuresacross a larger factor library.'
AXNA4 incorporates numerous enhancements including:
- Additional factors including Market Sensitivity, Profitabilityand Dividend Yield for informative and intuitive results
- Improved quality and stability of exposures
- New shrinkage estimator for firms with limited data to gainstable exposures for IPOs
- Enhanced portfolio analysis capabilities with stable andintuitive exposures for risk decomposition
- New outlier detection methodology for estimating factor returnsand refreshed model history available in the statistical model
The North America model is partof the Axioma Equity Factor Risk Model Suite built by experiencedresearchers and updated daily to provide the most comprehensiverisk and portfolio analysis to make more informed investmentdecisions.
Axioma Ventures
About Qontigo
Qontigo is a financial intelligence innovator and a leader inthe modernization of investment management, from risk to return.The combination of the group's world-class indices andbest-of-breed analytics, with its technological expertise andcustomer-driven innovation, enables its clients to achievecompetitive advantage in a rapidly changing marketplace. Qontigo'sglobal client base includes the world's largest financial productsissuers, capital owners and asset managers. Created in 2019 throughthe combination of Axioma, DAX and STOXX, Qontigo is part ofDeutsche Börse Group, headquartered in Eschborn with key locationsin New York, Zug and London.
www.qontigo.com
www.qontigo.com
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Axioma Risk Model Handbook Pdf
SOURCE Qontigo