December 05, 2024

December 05, 2024
AXIOMA EQUITY RISK MONITOR | STOXX-Australia-150 EDITION
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1. Global Volatility Hotspots chart

Predicted volatility for individual country Market Portfolios as measured by Axioma's Worldwide short-horizon model. Market portfolios comprise all stocks in a country with sufficient liquidity. Arrows: Country predicted risk changed by more than one percentage point over the last 5 days. Black arrow indicates increase, green arrow indicates decrease.

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2. Global Correlation Hotspots chart

Average pairwise asset correlation for all companies in individual country Market Portfolios as measured by Axioma's Worldwide short-horizon model. Arrows: Average correlation changed by 0.02 or more over the last five days. Black arrow indicates increase, green arrow indicates decrease.

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3. Global Market Returns (1 year) chart

Total return in local currency over the last 12 months for each individual Market Portfolio.

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4. Global Market Returns (1 week) chart

Total return in local currency over the last week for each individual Market Portfolio.

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5. Global Market Risk and Return chart

Total return over the last 12 months (in USD) vs current market volatilty as estimated by Axioma's Worldwide short-horizon model for each country Market Portfolio. Circle size represents relative market cap.

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6. Currency Risk and Return vs. USD chart

Currency volatility and 12-month return vs. USD. Dotted lines show range in return and volatility over the period.

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7. STOXX® Australia 150 - Predicted Risk chart

Forecast risk for the index as measured by the four risk model model variants.
MH=Fundamental Medium-Horizon, SH=Fundamental Short-Horizon, -S= Statistical Model. Right side shows cumulative index return.

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8. STOXX® Australia 150 - Components of Risk chart

Major factor block components of index risk. Does not include covariances between the blocks.

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9. Risk Change Decomposition - Factor Model chart

Breakdown of the drivers of change in the index's short-horizon fundamental risk over the time period indicated, based on the factor model.

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10. Risk Change Decomposition - Dense Matrix chart

Breakdown of the drivers of change in the index's short-horizon fundamental risk over the time period indicated, assuming a full asset-asset covariance matrix.
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11. STOXX® Australia 150 - "Risk Watch" chart

Change in index vs. total return over indicated period. Risk is measured by the short-horizon fundamental model at the beginning of the period.
A one standard deviation move based on the risk forecast at the time is indicated by the dot.

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12. STOXX® Australia 150 - Rolling Average Asset Correlations chart

Average pairwise correlation among index stocks over trailing 20- and 60-day windows. Right side shows cumulative index return.

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13. Market-Based Style Factor Performance chart

Cumulative returns of the medium-horizon model market-based style factors over the past 12 months.

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14. Fundamental Style Factor Performance chart

Cumulative returns of the medium-horizon fundamental model style factors over the past 12 months.

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15. Axioma Australia Model Style Factor Correlations chart

Risk-model correlations between the style factors in the medium-horizon fundamental model as of the report date.

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16. Change in Style Correlations (1 Year) chart

The change in correlations over the past year for style factors in the medium-horizon fundamental model.

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17. Axioma Australia Model Style Factor Returns by Period chart

Returns of the medium-horizon fundamental model style factors over the last week, month, 3 months, 6 months and 12 months.

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18. Axioma Australia Model Style Volatility Range (1 year) chart

The range in volatility over the past year for style factors in the risk model medium-horizon fundamental model. Current volatility is indicated by the yellow dot.

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19. STOXX® Australia 150 - Sector Style Exposures chart

The weighted average exposure to risk model style factors for the 11 GICS sectors in the index.

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20. STOXX® Australia 150 - Sector Weights and % of Risk chart

The weight and contribution to risk of the 11 GICS sectors in the index. Risk is measured using the medium-horizon fundamental model.

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21. Axioma Australia Model Factor Volatility Range (1 year) chart

The range in volatility over the past year for industry factors in the risk model medium-horizon fundamental model. Current volatility is indicated by the yellow dot.

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22. STOXX® Australia 150 - Diversification Ratio chart

Diversification is measured as the ratio of the weighted average asset variance to total index variance as measured by the medium-horizon model.

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23. STOXX® Australia 150 - Weekly Asset Return Dispersion chart

Cross-sectional standard deviation of five-day returns across all index stocks.

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24. Weekly Asset Return Proportion Ahead of Index chart

Percent of stocks in the index that have beaten the index over the past five days.

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25. Returns for popular benchmarks chart

Cumulative returns in local currency over the past year for selected indices.

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26. Returns for popular indicators chart

Cumulative returns over the past year for spot Brent crude, spot gold and VIX. VIX is a registered trademark of the Chicago Board Options Exchange.

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27. STOXX® Australia 150 - Rolling ADV (USD billions) chart

Daily sum of the 20-day average USD trading value for assets in the index.

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28. STOXX® Australia 150 - ADV by Sector chart

Current and 12-month average 20-day average USD daily trading value for assets in the index, sector-by-sector.

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29. STOXX® Australia 150 - Cumulative Sector Return chart

Cumulative return over the last year for each sector in the index.

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30. STOXX® Australia 150 - Sector Risk chart

Current short-horizon fundamental risk level vs. various historical periods for a capitalization-weighted portfolio comprising stocks in each sector.

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31. STOXX® Australia 150 - Period Sector Return chart

Sector returns for expanding periods.

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32. STOXX® Australia 150 - Sector Return Contribution chart

Contribution of each sector to total benchmark return.

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