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Great Wall of China

Axioma and CSI to collaborate on strategy indices for the A-share market

Axioma, a provider of tools for risk management and portfolio optimisation, and China Securities Index (CSI), a provider of equity benchmarks, are to collaborate on the design and launch of a series of 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,” says 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,” says Zhong Liu, deputy general manager of CSI.

The optimised 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 optimisation technology and factors derived from Axioma’s China Robust Risk Model.  The indices will be distributed by CSI.

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