Financial Services Industry
Industry: Email Alert RSS FeedAxa quant model is questioned by S&P.
Investment Adviser, April, 2007
Byline: No significant developments to quant model in recent years cited as causal factor
asia
The use of Axa Rosenberg's quantitative model for Asia-based funds has been called into question by Standard & Poor's analysts, advisers and multi-managers.
S&P has reduced the rating of the GBP348.2m Pacific ex-Japan Small Cap Alpha fund from AAA to AA, while the GBP191.7m Pacific Growth fund dropped from AA to A.
It cited recent benchmark-relative underperformance and no significant developments to the quant model in recent years as the main reasons.
Acknowledging that the Axa process was stable and added value, the S&P report pointed out: "This causes us to question how quickly longer-term fundamental shifts can be...
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