Axioma, Inc., a leading provider of advanced tools for risk management and portfolio optimization, and China Securities Index (CSI), a leading provider of equity benchmarks, today announced a collaboration to design and launch a series of innovative strategy indices on China’s A-share market.
“In the risk-on, risk-off environment of post-2008, these new indices will help investors by better capturing systematic sources of return in a risk controlled and efficient manner,” said Olivier d’Assier, Asia Pacific Managing Director at Axioma.
“We are delighted to partner with Axioma, a leader in portfolio optimization and multi-factor risk modelling, to develop innovative and practical strategy indices on China’s A-share market for both domestic and international asset managers,” said Zhong Liu, Deputy General Manager of CSI.
The optimized indices will reflect an underlying source of systematic return, often referred to as ‘smart beta’, and currently only available via active strategies. The indices will target both signal strength and investability via a two-step process aimed at capturing a strategy’s return, while ensuring that the resulting indexes are replicable.
The family of strategy indices will be based on the popular CSI 300 index and will consist of a basket of securities, chosen from the underlying index and constructed with Axioma’s optimization technology and factors derived from Axioma’s China Robust Risk Model. The indices will be distributed by CSI.
“Axioma is very proud to partner with CSI in the development of these innovative strategy indices, designed in response to growing investor demand for more sophisticated tools to assess, measure, and manage their risk,” said d’Assier.