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.

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.

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.

The Premialab white paper introduces a statistical and analytical methodology to benchmark and classify the universe of Quantitative Investment Strategies (QIS) deployed in the market.

An insightful performance update on the passive and actively managed commodity inflation baskets constructed to explore inflation protection strategies.

A practical use case showcasing examples of how Premialab proprietary benchmarks on risk premia and factor performances can be used in conjunction with equity factor models to assess and manage associated risk.

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.

Systematic intraday momentum strategies in the US equity market aim to benefit from intraday long or short trending behavior, both to mitigate downward risk and be exposed to asymmetric and convex return profiles, particularly during crisis periods.

Due to the fast-changing economic cycles combined with uncertain geopolitics factors, portfolio managers face increasing complexity when constructing multi-asset portfolios.

The Russian invasion of Ukraine is a human tragedy, and its evolution remains uncertain.