Axioma US Equity Factor Risk Model: Trading Horizon

Version 5.1

Portfolio risk management for shorter investment horizons

Traditional global factor risk models may miss critical exposures that impact your portfolio performance. Designed to uncover these hidden risks and opportunities, the Worldwide Equity Factor Risk Model (WW5.1) delivers advanced factor intelligence based on the latest academic research on factor effectiveness.

Ultra-short term factors

Version 5.1 of the Trading Model includes One-Day Reversal and three new factors not found in the previous Trading Model (Version 5.0).

An additional horizon

The suite of Axioma US Equity Factor Risk Models also includes short-horizon, medium-horizon, statistical and fundamental variants.

FACTSHEET

The US Axioma Trading Horizon Model (US5.1)

When the market abruptly and sharply changes direction, you need an ultra-short risk model that helps you better understand and manage that risk.

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Who is the Trading Model for?

New and redefined factors

More complete risk assessment

Company fundamentals alignment

Factor descriptors with thematic purity

Cross-sectional volatility adjustment

Emphasizes current environment

Industry classification

Aligned with GICS 2023 Industry factors

Risk managers

Structuring desks

Key benefits

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

Enhance your factor workflows by:

Neutralizing exposure to ‘hidden’ systematic risks using the Non-linear Residual Structure factor
Creating a portfolio to follow the ‘smart money’ through Sentiment-theme factor exposures
Producing lower-risk Momentum portfolios with less upside sacrifice
Generating theoretically cleaner ‘Quality’ exposure through positive exposure to Profit Quality and Investment factors
Enhancing the upside of Minimum Variance and Low-Volatility portfolios by reducing Downside Risk
Adding positive Sentiment to Value portfolios to mitigate ‘value traps’

Focus on Sentiment Theme Factors

These Sentiment factors reflect the actions of informed traders and the impact of market participants. They are not based on analyst opinions or language analysis.

Initial Coronavirus: Total Predicted Risk