Axioma, a global provider of innovative risk and portfolio management solutions, today launched the latest version of its Japan Equity Factor Risk Model suite (“AXJP4”). The Model provides improved methodologies, enhanced style factors and enriched exposures for its fundamental and statistical models, which all combine to deliver improved risk forecasts and better articulate risk.
“Sophisticated risk management is taking centre stage, emphasizing the need for advanced and effective tools,“ said Joel Coverdale, Asia Pacific Managing Director at Axioma. “Our latest Japan Equity Risk Model suite exemplifies our commitment to providing clients with more informative and intuitive results for performance and risk attribution.”
Axioma’s Japan Equity Factor Risk Model suite offers:
- Asset coverage of over 3,700 securities listed on multiple Japanese stock exchanges
- Multiple views of risk – fundamental and statistical
- Multiple horizons which enable distinction between short-term (1-2 months) and medium-term (3-6 months) forecasts
- Daily estimations of factor exposures, covariances and asset specific risks
Clients will gain a more accurate picture of how their strategies perform through Axioma’s four model variants within the suite, comprising medium- and short-horizon, fundamental and statistical factor models. A holistic view of risk incorporating multiple model variants allows users a more informed decision-making tool.
The latest Japan Equity Factor Risk Model suite includes the following highlights:
JP4 Fundamental:
- Latest research methodology -- implemented using a new model framework including a market intercept factor and an improved factor return estimation methodology
- Intuitive factor selection through improved style and industry factor structures
- New Style Factors include: Profitability, Earnings Yield and Dividend Yield
- Custom industry classification based on GICS 2016 Classification
- Improved quality and stability of exposures with a new weighting scheme for estimating market-based exposures
JP4 Statistical:
- New outlier detection method which improves factor risk predictions
Axioma introduces enhancements to its models on a regular basis to provide clients the most advanced suite of model competencies and tools required to cater to increasing complexities in risk management and portfolio construction.
