The Premialab whitepaper outlines an advanced statistical and analytical methodology to benchmark, classify and assess the universe of quantitative investment strategies deployed in the market.
Using a rigorous top-down analysis of leading providers' extensive strategy database, we will introduce the Pure Factor framework to model seven universally accepted style premia - Value, Size, Quality, Carry, Momentum, Volatility, and Low Volatility - within five different asset classes.
We shall then analyze how Premialab Pure Factors provide a unique referential to benchmark the universe, measure factor exposures, and performance attribution across asset classes and investment styles.
A comprehensive correlation study demonstrates the lack of intra correlation of Premialab Pure Factors and showcases each factor's dynamics versus its relevant market beta.
Furthermore, the factor model is tested on a wide range of investment products - Equities, Mutual Funds, Hedge Funds (CTAs, Global Macro, L/S Equity, Risk Premia Funds) Fund of Hedge Funds, demonstrating a unique explanatory power whilst quantitatively decomposing their risk and performance drivers.