Portfolio risk management for shorter investment horizons
The Trading Model provides accurate portfolio risk exposures and forecasts for risk horizons, up to a month, better capturing the short-term impact of rapidly changing market conditions.
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.
Who is the Trading Model for?
Hedge fund managers
Quantitative asset managers
Algo traders
Sell-side managers
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
Trading Model US5.1: Factor highlights
- One-Day Reversal (unique to Trading Horizon)
- Opinion Divergence (new)
- Non-linear Residual (new)
- Investment (new)
- Downside Risk (modified)
The Trading Model offers faster reaction to and faster retreat from market disruptions
Initial Coronavirus: Total Predicted Risk
Source: Axioma US Equity Risk Models
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