July 22, 2021 • Posted in Risk Premia & Multi-Asset

Building a Multi-Asset Protection Portfolio Using "Consensus" Strategies

How should an investor approach portfolio protection? Constructing objectives, policies, strategies, and implementations designed to mitigate downside risk is topical given the recency of the 2020 Q1 pandemic crash, today’s lofty equity markets, and thin fixed income yields.
Continue Reading

April 28, 2021 • Posted in Attribution & Risk Premia

Best Performing Equity Large Cap Growth & Value Funds

Our new series of quarterly peer group reports cover different asset class funds utilizing our Premialab Pure Factors®, our proprietary benchmark on risk premia and factor performance attribution analysis.
Continue Reading

April 20, 2021 • Posted in Quantitative & Optimization

Exploring US Growth Funds Performance as US Interest Rates Rapidly Rise

This paper explores how well the 196 US Growth Funds representing $1.8 trillion AUM across 86 fund houses, and US Factors, proxied by Premialab’s Pure Factors, our proprietary benchmarks on risk premia and factor performances, have navigated through this latest period of a rapid rise in US interest rates.
Continue Reading

February 16, 2021 • Posted in Quantitative & Optimization

Growing stronger: Looking Beneath Growth's Outperformance

This paper decomposes 196 US Growth Funds representing $1.8 trillion AUM across 86 fund houses through Premialab Pure Factors®, our proprietary benchmarks on risk premia and factor performances. The analysis provides unique insights into Growth funds' inner factor dynamics and returns drivers.
Continue Reading

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.
Continue Reading

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?
Continue Reading

May 12, 2019 • Posted in Quantitative & Construction

Premialab Whitepaper: Advanced Factor Analytics

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.
Continue Reading

Access Premium Content

Thank you for your interest. Please submit your information to receive this premium content.

I acknowledge that PremiaLab will process my personal information under its Privacy Policy

Access Premium Content

Please login with your email address to access article.