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MST of trend factors

February 10, 2023 • Posted in Attribution & Risk Premia

Factor Performance 2022

This paper provides a review of the factor performance in 2022 across diversified multi-asset alternative risk premia and a summary on how the macroeconomic environment has impacted global factor performance: equity market neutral, multi-asset trend and commodity factors.
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Consensus Protection Portfolio, 2022 Update

September 1, 2022 • Posted in Multi-Asset & Attribution

Use Case: Consensus Protection Portfolio, 2022 Update

Last year we published a white paper “Building a consensus protection portfolio”. In this update, we examine the performance of such a portfolio against the backdrop of all the unforeseen market conditions in the first half of 2022.
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Quarterly Peer Group Report

August 16, 2022 • Posted in Attribution & Risk Premia

Best Performing Equity Large Cap Growth & Value Funds, Q2 2022

Our quarterly peer group reports cover different asset class funds utilizing our Premialab Pure Factors®, a proprietary benchmark on risk premia and factor performance attribution analysis.
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Top Performing Equity Large Cap Growth & Value Funds, Q1 2022

May 19, 2022 • Posted in Attribution & Risk Premia

Best Performing Equity Large Cap Growth & Value Funds, Q1 2022

Our quarterly peer group reports cover different asset class funds utilizing our Premialab Pure Factors®, a proprietary benchmark on risk premia and factor performance attribution analysis.
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Market Update: Russian Invasion of Ukraine

March 9, 2022 • Posted in Multi-Asset & Attribution

Market Update: Russian Invasion of Ukraine

The Russian invasion of Ukraine is a human tragedy, and its evolution remains uncertain.
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Top Performing Equity Large Cap Growth & Value Funds, 2021

February 16, 2022 • Posted in Attribution & Risk Premia

2021 Best Performing Equity Large Cap Growth & Value Funds

Our quarterly peer group reports cover different asset class funds utilizing our Premialab Pure Factors®, a proprietary benchmark on risk premia and factor performance attribution analysis.
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Top Performing Equity Large Cap Growth & Value Funds, Q3 2021

October 27, 2021 • Posted in Attribution & Risk Premia

Best Performing Equity Large Cap Growth & Value Funds, October 2021

Our quarterly peer group reports cover different asset class funds utilizing our Premialab Pure Factors®, a proprietary benchmark on risk premia and factor performance attribution analysis.
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Factor Market Regime - Update

October 21, 2021 • Posted in Multi-Asset & Attribution

Factor Market Regime - Update

In this article, we re-investigate the market factor relation structure using Premialab Pure Factors® as an independent representation of the consensus implementation across asset classes.
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Top Performing Equity Large Cap Growth & Value Funds, Q2 2021

July 28, 2021 • Posted in Attribution & Risk Premia

Best Performing Equity Large Cap Growth & Value Funds, July 2021

Our quarterly peer group reports cover different asset class funds utilizing our Premialab Pure Factors®, a proprietary benchmark on risk premia and factor performance attribution analysis.
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Top Performing Equity Large Cap Growth & Value Funds, Q1 2021

April 28, 2021 • Posted in Attribution & Risk Premia

Best Performing Equity Large Cap Growth & Value Funds, April 2021

Our new series of quarterly peer group reports cover different asset class funds utilizing our Premialab Pure Factors®, a proprietary benchmark on risk premia and factor performance attribution analysis.
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Premialab, Factor Market Regime - Looking Ahead, COVID-19

January 12, 2021 • Posted in Multi-Asset & Attribution

Factor Market Regime - Looking Ahead

2020 has been disruptive and financial markets have been shaken up dramatically. This paper analyzes the shifts in market dynamics and drills down market factors' behavior in terms of correlation structure using Premialab Pure Factors®, proprietary benchmarks on risk premia and factor performances, and the return dispersion across implementations by key providers in the marketplace.
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Premialab, Low Vol What Went Wrong?

June 8, 2020 • Posted in Quantitative & Attribution

Low Vol What Went Wrong?

2020 has been very challenging with sharp underperformance and dispersion across low volatility implementation. How can we explain performance and positioning?
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