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Axioma Insight™ Quarterly Multi-Asset Risk Review

The last quarter of 2018 saw profound changes in the risk environment and multi-asset class correlations. While in early October, markets were still concerned about high inflation caused by strong labor conditions market and wage growth, traders have since dramatically lowered their interest rate expectations, fueled by ‘dovish’ Fed comments. In this webinar, Christoph V. Schon, Axioma's Executive Director of Applied Research, examined how portfolio risk has changed from very little diversification in a climate of inflation fears to a ‘flight-to-quality’ environment entirely dominated by stock market volatility.
Recorded Feb 15 2019 54 mins
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Presented by
Christoph V. Schon, Executive Director of Applied Research
Presentation preview: Axioma Insight™ Quarterly Multi-Asset Risk Review

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  • Stress Testing in Practice Recorded: Mar 18 2019 57 mins
    Christoph V. Schon, Executive Director of Applied Research
    A good stress test needs two ingredients. First, one needs to decide which variable(s) to stress and by how much. Second, comes the identification of a suitable calibration period for the covariance matrix used to estimate the other pricing factors. The latter can often be the more difficult, in particular if one does not want to simply rely on recent correlations to hold. In this webinar, Christoph V. Schon, Executive Director of Applied Research, will talk about the challenges he and his colleagues face (e.g. looking for relevant precedents or dealing with a lack of historical data) and how they deal with them, drawing from a number of recent studies conducted by the team.
  • Optimization 101 Recorded: Mar 11 2019 61 mins
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    In this webinar, we discuss the basics of portfolio optimization. She discussed how to model and interpret portfolio optimization strategies, which strategy elements make the optimization problems more difficult to solve, and how to use the soft constraints and the constraint hierarchy to make the solution process more reliable. This presentation benefits industry participants who are new to optimization as well as long-time users who would like a refresher on the basics.
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    During this webinar and Q&A, Omer and Chris synthesized their learnings to demonstrate how -you- fundamental PMs and their quantitative teams better can:

    * Understand and size your selections
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    Viewers will gain an understanding of a practical approach to portfolio construction that can augment a fundamental investment process and help generate better risk-adjusted returns.
  • A Survey of ESG Vendor Data: Strategies for Managing Score Differences Recorded: Feb 25 2019 46 mins
    Anthony Renshaw, Ph.D., Director of Index Solutions
    Environmental, social and governance (ESG) data availability, marketing presence and regulation continue to increase in the investment community. Recent articles have highlighted several remarkable instances of score divergence between data vendors. Those articles did not attempt to determine whether the disparities represented isolated outliers or were a common occurrence in ESG data.

    Using a small set of different ESG vendors, Anthony Renshaw, Ph.D., Director of Index Solutions at Axioma, examined how pervasive ESG disparities are and what drives material differences in vendor scores. He also evaluated how those disparities impact portfolio construction.
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    Fabien Couderc, Chief Technology Officer
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  • ESG's Evolving Performance: First Do No Harm Recorded: Feb 15 2019 40 mins
    Anthony Renshaw, Ph.D., Director of Index Solutions at Axioma
    Environmental, social and governance (ESG) data availability, marketing presence and regulation have increased dramatically in the last few years. According to PwC’s 2016 ESG Pulse study, as recently as 2011, only 20% of the companies in the S&P 500 Index even reported ESG metrics; the percentage is now over 80%.

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  • Axioma Insight™ Quarterly Multi-Asset Risk Review Recorded: Feb 15 2019 54 mins
    Christoph V. Schon, Executive Director of Applied Research
    The last quarter of 2018 saw profound changes in the risk environment and multi-asset class correlations. While in early October, markets were still concerned about high inflation caused by strong labor conditions market and wage growth, traders have since dramatically lowered their interest rate expectations, fueled by ‘dovish’ Fed comments. In this webinar, Christoph V. Schon, Axioma's Executive Director of Applied Research, examined how portfolio risk has changed from very little diversification in a climate of inflation fears to a ‘flight-to-quality’ environment entirely dominated by stock market volatility.
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  • Title: Axioma Insight™ Quarterly Multi-Asset Risk Review
  • Live at: Feb 15 2019 2:30 pm
  • Presented by: Christoph V. Schon, Executive Director of Applied Research
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