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Axioma North America Equity Factor Risk Model (NA4) Methodology & Handbook PDF

Axioma North America Equity Factor Risk Model (NA4) is a North American multi-factor equity risk model for factor exposure analysis, volatility forecasting, performance attribution, and portfolio optimization.

Axioma North America Equity Factor Risk Model (NA4) is a multi-factor North American equity risk model designed for institutional investors managing medium- and short-horizon portfolios across U.S. and Canadian equity markets. The model provides daily updates for market sensitivity, volatility, short-term momentum, liquidity, exchange rate sensitivity, medium-term momentum, size, value, earnings yield, leverage, growth, profitability, dividend yield, and GICS-based industry, country, and currency risk factors to support portfolio construction, risk decomposition, stress testing, and quantitative portfolio management.

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