Predicted vol, % of NAV
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Annualised volatility of today's signed weights under this risk model, as a share of the NAV base. It is a risk estimate, not a P&L forecast.
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Stock-specific
--of book variance
The part of book variance that comes from each company's own news, which the model treats as independent between stocks. The rest is factor risk: market, country, industry and style moves the positions share.
Factor
--of book varianceLargest position
----Top five
----Gross coverage
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Share of long-plus-short exposure that has risk data. Positions without it are listed below and left out; their risk is not spread across the others.
Each position's risk in bp of NAV a year
Position risk: on its own and after the book's hedges
How to read this chart
Own risk (bp), the default, shows each position in bp of NAV a year. Full risk (grey) is its weight times the stock's volatility: what it could make or lose on its own. After the book's hedges (blue) is the risk we really run on it once the hedges the book holds are counted: its own news, plus the market, sector and subsector risk the rest of the book leaves open. On each of those the smaller side, longs or shorts, is matched in full and the bigger side keeps the rest in proportion to size, so a hedge is used once and longs and shorts are treated alike. Own news is Axioma's specific risk, less the part close peers in the same subsector share (as Tesco and Sainsbury's do). It never exceeds full risk; for most positions it sits close to own news, because the book hedges most market and sector risk. The share column is a separate question: each position's share of the book's risk.
Share shows each position's share of the book's predicted variance on the headline model: its weight times its covariance with the whole book. Shares add to 100%. A short adds risk like a long when its risk is mostly stock-specific. A bar left of zero is a position that offsets the rest of the book: removing it would raise risk.
Share by model shows the same share under four ways of measuring how stocks move together. The navy mark is the headline (Axioma). Teal adds stock-specific moves shared within a house subsector, which Axioma's factors treat as independent. Orange uses only how the stocks themselves moved together. Purple keeps the book's five main common themes and treats the rest as stock-specific. Where the marks sit close together, the share does not depend on the model; tested on a year of weekly books, none of the three predicted what positions went on to carry clearly better than the headline.
Over time draws each position's risk after the book's hedges (Own risk) or its headline share (Share, Share by model) on every book date.
Where risk runs ahead of size
Risk by group
How to read this chart
The dark bar is the group's share of predicted book variance (its positions' shares added up); the light bar is its share of long-plus-short exposure. Where the dark bar is longer, the group carries more risk than its size.
A group's share already nets its longs against its shorts through the factor co-movement between them. Hover a bar for its net long or short, and how much of its share is stock-specific rather than factor.
Sector is the house sector. Industry is the GICS sub-industry from the security master, the classification Axioma's industry factors follow (the risk feed does not carry them); the largest 14 are shown and the rest added together.
What the longs and the shorts look like
Style tilts (Axioma)
How to read this chart
Each style is an Axioma score per stock, in standard deviations from the market average. A bar is one side's contribution to the book's tilt: 100 × the sum of signed weight × score, over whole-book gross, the same "% deployed" unit as Book Factor Tilt. The diamond is the net of the two.
Shorts in high-scoring stocks pull the tilt down, so a short book of low-momentum names shows as a positive momentum bar. These are exposures, not shares of risk: the feed has no factor covariance to turn a tilt into risk.
The whole book, date by date
Book risk over time
How to read this chart
Each point is that day's book run through the risk model with only what was known then. Every date is shown on today's NAV base, so a line in "% of NAV" or "bp" moves only when the book or its risk does, never because the base changed. Volatility as a share of gross says how hot the book is for its size; dollars a day says how much is at risk.
Style by style
Average score of each side, net tilt in % deployed, and the three positions that move it most
What drives each tilt
| Style | Biggest drivers | Longs avg | Shorts avg | Long | Short | Net tilt |
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Every position
Risk against size
| Position | Sector | Weight bp | % of gross | Full risk | Idiosyncratic | After hedges | Stock vol | Specific vol | Factor vol | Factor % of var | % of risk | Specific pts | Factor pts | Range | Risk ÷ size |
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Read before interpreting
How this is built
Coverage audit
0 positionsNot in the risk model
| Position | Ticker | Weight bp | Reason |
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