Axioma Research Reports

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Axioma Research Reports

Axioma Research Reports

Explore decades of Axioma research on portfolio optimization, risk models, and risk management best practices – from foundational papers to our latest quantitative insights.

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Previous reports

Portfolio Construction

What are the odds? Getting a better read on portfolio risk-return metrics, 2023

What, is a factor? Part 2: The impact of the long-only constraint, 2019

Credit Suisse Holt: Smart beta: even smarter with an optimizer and a custom risk model, 2018

The many faces of Japanese style portfolios, 2018

Alpha construction in a consistent investment process, 2013

Who shrunk my tracking error, 2013

Aligning alpha and risk factors, a panacea to ffactor alignment problems?, 2012

The transfer coefficient, custom risk models, and portfolio construction, 2012

Using multiple risk models for superior portoflio management… A practice not just for quants, 2011

Alpha alignment factor: A solution to the underestimation of risk for optimized active portfolios, 2010

Finance, statistics, accounting, optimization and some alignment problems, 2010

Pushing the frontier (literally) with the Alpha Alignment factor, 2010

Portfolio construction using more than one risk model, 2008

Using Axioma's alpha factor method to correct the misalignment of alpha model and risk model factors, 2008

Alpha factor method: Improving risk estimation by reducing risk model portoflio selection bias, 2006

Risk Models

When should I use a Linked Model?, 2021

How to turn value at risk into value from risk: Axioma Equity Linked Factor Risk Model, 2021

Bonds have style, too, 2020

State Street: Quantifying macroecnomic risk, 2020

How to evaluate a risk model, 2019

A golden goose goes missing: the curious disappearance of the Index Effect, 2018

An Aussie sense of style: Factor-Mimicking Portfolios, 2018

When it comes to Momentum, don't cramp my style, 2018

When size does matter, 2018

Axioma's Macroeconomic Model: Insights into equity portfolio from a new perspective, 2014

Does style factor alignment foretell market crashes?, 2012

What multiple risk models can tell us about future drawdowns, 2012

Adjusting for issuer specific covariance, 2011

Returns-timing: A solution to market asynchronicity (short version), 2010

How stale is your risk model?, 2008

Risk model reliability: Daily vs monthly re-estimation, 2008

Why have emerging markets become less risky than developed markets?, 2023

Crowded trades don't explain managers' recent pain, 2018

What's up with equity correlations? They're down… and factor volatility is to blame, 2011

Yesterday's news in today's risk model: A risk model's perspective on the Chinese currency debate, 2010

September 15, 2008: A market analysis, 2008

Risk Management

Tracking error 101: The intuition behind measurement and control, 2023

What's in a name: The ESG Edition, 2022

The best bang for your climate aware buck, 2021

Inflation and its impact on the stock-bond correlation, 2021

Cross-asset correlatoins in the Corona Crisis, 2021

To hedge or not to hedge: Using a stress test to answer the question, 2021

High yield bonds: Analyzing the risk and return tradeoff when rates are negative, 2020

Mean-reversion and market recoveries: Stocks hit hardest first tend to outperform, 2020

Comparing two financial crises: Insights the GFC offers us today, 2020

A sector variant of the ROOF Score methodology, 2020

ROOF market portfolios: Capitalizing on the mood swings of markets?, 2020

Asessing the capacity of factor investing strategies, 2020

Do sectors matter in fixed income? Less than you may think, 2020

How to model a trade war - just in case…, 2019

Exposing vulnerabilities with a multi-asset class risk system, 2017

Axioma Risk for Portfolio Risk Management

With our cloud-native, API-first enterprise risk system Axioma Risk, we are making risk management more interactive, more real-time, and more multi-purpose.

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