Risk analytics and portfolio construction provider, Axioma, has upgraded its Portfolio Analytics and Risk Model Machine solutions with a series of enhancements aimed at providing "increased flexibility" and "accommodate a wider variety of workflows" for buy-side institutions.
The key highlights of the new version of Axioma Portfolio Analytics include a historical portfolio data uploads that are 2x-4x faster; the integration of portfolio updates with stored analytics; the accommodation of more workflows, including sortable Excel reports and faster factor-based performance attribution calculations; a simplified implementation process as well as improvements in web services.
"Axioma is committed to delivering innovative solutions that allow portfolio managers to focus on generating alpha," said Mark Cushey, director of product management, Axioma. "This is incredibly important, as buy-side firms are under pressure to demonstrate innovation in an environment of commoditized performance and investor demand for transparency."
Other functionalities added to Axioma's risk model machine include the ability to 'stitch' together custom risk models, allowing clients to increase or reduce the number of style factors, industries or countries in the models over time; and the flexibility to exclude industry factors from the custom risk model, limiting it to market, style and country, or just market and style.
In addition, the newest version of Axioma Portfolio Analytics and the Risk Model Machine includes a pseudo historical and Monte Carlo risk statistics - new methodology combines a linear pricing approach with a historical or Monte Carlo simulation. This approach is aimed at providing the buy-side with 'the best of two worlds': fast computation from linear exposures and rich risk simulations.
The firm also said it has integrated Axioma Commodity Model into the Axioma Risk to enable users to analyse commodity exposures and risk via cross-sectional factors. It complements the granular approach, which uses constant-maturity future curves, and a number of other functionalities such as default probability and default horizon statistics; custom statistics; partitioned stress tests; generic contract for difference pricing models; and improvements around equity options to support quanto options and dividend yield which now make an integral part of stock and stock index option pricing.
Axioma Portfolio Analytics provides time-series risk analysis, stress testing and both traditional and factor-based performance attribution that is fully integrated with Axioma's fundamental, statistical and macroeconomic risk models, as well custom risk models built with the Axioma Risk Model Machine.
Axioma's Risk Model Machine allows clients to build their own proprietary risk models using Axioma's IP and core models as the basis which can be adjusted to tailor the models to specific investment process and approach.
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