Unlock precision risk insights for trading desks and quant strategies
The Axioma Equity Factor Risk Models: Trading Horizon delivers precise portfolio risk exposures and forecasts for ultra-short investment horizons when the markets move abruptly and sharply change direction.
Available in two variants:
US Trading Horizon (US5.1-TH)
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Worldwide Trading Horizon (WW5.1-TH)
DOWNLOAD FACTSHEETWhy Trading Horizon Models?
Get daily insights
Capture the day-to-day changes in risk of the trading book and other portfolios with short investment horizons
Manage high-frequency strategies
Accurately capture risk/return trade-offs for fast moving alpha signals and high turnover strategies
Rebalance with confidence
Understand the trade-off between risk and market impact/slippage and improve portfolio implementation and execution
Understand risk drivers
Get insights into the event-driven risk stemming from earnings announcements, short-squeezes and other infrequent events
Who is the Trading Model for?
Hedge fund managers
Quantitative asset managers
Algo traders
Sell-side managers
Risk managers
Structuring desks
New factors in Version 5.1 vs previous version (4.0)
- Short Interest: Risk and return impact based on how heavily a stock is shorted
- Opinion Divergence: Measures lack of consensus among investors based on unusual trading volume
- Downside Risk: Captures negative or uncompensated risk including downside volatility and recent maximum returns
- Investment: Measures asset growth, sales growth, and inventory growth
- Non-linear Residual Structure: Finds higher-order explanatory factors in residual returns to capture hidden risk exposures
Worldwide vs US Trading Model (v5.1)
| Worldwide Trading Model | US Trading Model |
| Non-linear Residual Structure (DMxUS) Non-linear Residual Structure (EM) | One-day Reversal: Captures Ultra-short-term mean reversion effects Crowding: Identifies concentrated institutional ownership risks Midcap: Captures mid-capitalization stock characteristics |
The Trading Model offers faster reaction to and faster retreat from market disruptions
Global Financial Crisis: Total Predicted Risk
Global Financial Crisis: Total Predicted Risk
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