Arrow_Blue_Orange.pngIntroducing Axioma’s ROOF™ Score Methodology


In this whitepaper, we are undertaking an ambitious task of leveraging factor return and benchmark risk data from Axioma’s standard fundamental equity models to:

  • Determine whether we are in a risk-tolerant (risk-on) or risk-averse (risk-off) market; and
  • Develop a market-sentiment indicator that will help predict the future market risk behavior.

This paper will be beneficial to anyone explaining portfolio performance in a context of risk environment, or those who are trying to develop a view about future market performance.




Olivier-d'Assier-cir.png


Author: 
Olivier d’Assier
Applied Research APAC
Arrow_Blue_Orange.pngIntroducing Axioma’s ROOF™ Score Methodology



In this whitepaper, we are undertaking an ambitious task of leveraging factor return and benchmark risk data from Axioma’s standard fundamental equity models to:

  • Determine whether we are in a risk-tolerant (risk-on) or risk-averse (risk-off) market; and
  • Develop a market-sentiment indicator that will help predict the future market risk behavior.

This paper will be beneficial to anyone explaining portfolio performance in a context of risk environment, or those who are trying to develop a view about future market performance.

WHITEPAPER

DOWNLOAD WHITEPAPER


Author: 
Olivier d’Assier
Applied Research APAC