Knowledge

Just as the recent release of Oppenheimer has rekindled a fascination with the processes behind the invention of the atomic bomb, an analogous transformational event takes place in the world of investment management - the construction of top-down systematic factor models.

The US equity market, despite reaching all-time highs in 2021, has faced significant volatility due to global events like Russia's war against Ukraine, supply-demand disruptions, rising rates, and surging inflation. To navigate these turbulent headwinds, investors are embracing systematic quantitative investment strategies (QIS) and risk mitigation frameworks.

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.

Forbes features Adrien Geliot, Premialab's CEO, discussing the rapid growth and success of AI-driven quantitative strategies in the financial industry, with 61% of the approximately 4,000 strategies tracked by Premialab in profit in 2022.

A recent paper, published by Antti Suhonen (Aalto University School of Business) and Kari Vatanen (Veritas Pension Insurance) on Social Science Research Network (SSRN), examines the risks and diversification properties of multi-asset alternative risk premia (ARP) strategies using Premialab Pure Factors®, encompassing investable ARP products.

By construction, this alpha is independent from the broad market factors and is referred to as “true alpha” in some literature. Alpha can be generated from the specific security selection or market timing of 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.

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

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.

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.

On the 9th of September, we hosted an insightful two-panel virtual forum, “Positioning for Inflation and the Outlook for Commodities,” with dealers, asset managers, and asset owners from around the globe.

In this use case, we will construct an inflation basket of commodities that mimics the CPI basket, compare the commodity basket to a Breakeven-TIPS benchmark, and improve upon the commodity CPI basket by using actively managed commodity momentum 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.

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.

The COVID-19 pandemic has pushed global markets into unprecedented territory. What does this mean for investors and what can we expect from here?

Overall, trend-following strategies have performed well since the beginning of the COVID-19 crisis. Their “positively skewed” performance can help to reduce tail risk in diversified portfolios.