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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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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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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June 23, 2022 • Posted in Quantitative & Construction

Premialab White Paper: Advanced Factor Analytics

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.
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June 14, 2022 • Posted in Risk Premia & Multi-Asset

Use Case: Inflation Hedging, 2022 Update

An insightful performance update on the passive and actively managed commodity inflation baskets constructed to explore inflation protection strategies.
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May 19, 2022 • Posted in Risk Premia & Performance

How to Use Premialab Pure Factors® in Conjunction with Traditional Equity Factor Models

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.
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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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May 19, 2022 • Posted in Multi-Asset & Optimization

Characterizing Intraday Momentum Strategies

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.
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March 17, 2022 • Posted in Multi-Asset & Risk Management

Forward-Looking Multi-Asset Portfolio Construction

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