Fintech Investment Services News

Qontigo Releases Enhanced North America Equity Factor Risk Model

Qontigo Releases Developed Markets ex-US Equity Factor Risk Model

Qontigo, an investment intelligence leader and provider of best-of-breed analytics and world-class indices, has announced the release of the Axioma North America Equity Factor Risk Model (AXNA4). This next generation model includes additional market factors for superior performance and risk attribution analysis.

The new AXNA4 model covers roughly 10,400 securities for both United States and Canadian markets including ADRs and foreign listings of North American issuers trading in other geographies.

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“Our latest North America model stresses improvements to the structure and methodology of factors,” said Alessandro Michelini, Managing Director of Front Office Solutions at Qontigo. “These enhancements provide investors with a clear understanding of factor exposures across a larger factor library.”

AXNA4 incorporates numerous enhancements including:

  • Additional factors including Market Sensitivity, Profitability and Dividend Yield for informative and intuitive results
  • Improved quality and stability of exposures
  • New shrinkage estimator for firms with limited data to gain stable exposures for IPOs
  • Enhanced portfolio analysis capabilities with stable and intuitive exposures for risk decomposition
  • New outlier detection methodology for estimating factor returns and refreshed model history available in the statistical model

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The North America model is part of the Axioma Equity Factor Risk Model Suite built by experienced researchers and updated daily to provide the most comprehensive risk and portfolio analysis to make more informed investment decisions.

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