Experimenting with Axioma's New Japan Model
Axioma recently released a big risk model update for its Japan suites. The breadth and depth of the changes span both the return and risk models, as well as the methodology used to calibrate them. In this paper we examine the intuition this latest generation of fundamental style factors provides practitioners. The four fundamental styles upon which we will focus are the ones captured by the new profitability, earnings yield, and dividend-yield factors, as well as the revamped growth factor.
Author: Olivier d’Assier, Managing Director, APAC