2 Feb 2012
The likelihood of a “risk shock” may be receding, according to Axioma’s Quarterly Risk Review, a comprehensive reference on the state of investment markets for portfolio managers, risk managers and other investment professionals.
Axioma’s quarterly reports aim to provide perspectives on the state of risk among key investments.
This issue noted that stock correlations have eased at year end and agreement among Axioma’s four risk model variants has increased, Axioma suggests this may be beneficial for managers focused on individual stock selection.
Benchmark risk continued to rise at the end of 2011, Axioma reports. Eurobloc markets had the highest predicted risk in both local and USD terms, whereas Japan and Australia (in local currencies) had the lowest risk, joined by non-Eurobloc euro-denominated benchmarks. The report indicates that a low volatility strategy would have been the best single-factor strategy for 2011.
Axioma’s quarterly reports aim to provide perspectives on the state of risk among key investments.
This issue noted that stock correlations have eased at year end and agreement among Axioma’s four risk model variants has increased, Axioma suggests this may be beneficial for managers focused on individual stock selection.
Benchmark risk continued to rise at the end of 2011, Axioma reports. Eurobloc markets had the highest predicted risk in both local and USD terms, whereas Japan and Australia (in local currencies) had the lowest risk, joined by non-Eurobloc euro-denominated benchmarks. The report indicates that a low volatility strategy would have been the best single-factor strategy for 2011.
