Parsimonious risk model with comprehensive thematic coverage
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.
Key enhancements
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
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 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.
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FACTSHEET
Axioma Worldwide Equity Factor Risk Model (WW5.1)
WW5.1 incorporates both time-tested style factors and a select number of new factors significant in today’s market environment.
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FACTSHEET
Comparable Company Specific Covariance (CCSC)
We systematically cluster together specific return correlations of the model assets, to find groups of comparable companies with highly correlated specific risks.
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