Axioma Debuts Canada Equity Risk Model

Axioma, the leading global provider of enterprise risk management, portfolio management and regulatory reporting solutions, today announced the addition of the new Canada equity risk model (AXCA4) to its next-generation Equity Factor Risk Model suite. The release builds on the existing risk models, offering enhanced country-specific content to meet the risk-management needs of investors.

The estimation universe for the new Canada model contains over 440 stocks and ETFs, with coverage history from 1995. The enhanced data includes deep daily history and, for the first time, incorporates macro factors for residual Gold and Oil sensitivity.

“The introduction of macro factors such as Gold and Oil sensitivity in the CA4 model captures the importance of these natural resources in the Canadian economy,” said Arnab Banerjee, Director, Product Management at Axioma. “The new CA4 model also uses a custom and granular industry factor structure to better reflect other key Canadian markets, such as the paper and forest-products segment.”

Axioma’s updated Canada risk model utilizes 17 market-based and 15 fundamental style model descriptors, offering deeper insights into short and medium-horizon risk exposures. In addition to holistic improvements to attribution and risk estimates, key enhancements include:

  • Expanded securities universe coverage of Canada-listed shares and ETFs
  • Additional fundamental factors, including market intercept, dividend yield, and profitability
  • The new market-based factors covering residual Oil and Gold sensitivity

Updated industry classifications for more comprehensive representation of the Canadian market
“There are notable differences in the behavior of factors in the Canadian market,” said Melissa Brown, Head of Applied Research at Axioma. “Having an ability to drill down into a Canada-specific view of risk offers superior risk-management capabilities to managers focused on that market.”

The Canada model is part of Axioma’s comprehensive suite of portfolio construction, optimization and risk solutions. Top-line benchmark risk estimates using the new model are now available through our Equity Risk Monitors.

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