February 14, 2024 • Posted in Quantitative & Multi-Asset

Thematic Investing and Portable Alpha

Thematic indices have witnessed increased demand over the past decade as investors recognize the potential within emerging trends, sectors, and industries. For thematic investors to strategically allocate their investments, exposure to relevant benchmarks is crucial. This paper outlines effective approaches to capitalize on the potential of thematic investments in a constantly evolving market landscape.
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January 30, 2024 • Posted in Quantitative & Multi-Asset

2023 Factor Performance Review and Outlook

This paper reviews the performance of factors in 2023 across diversified multi-asset alternative risk premia and discusses how the macroeconomic environment has impacted global factor performance, comparing 2022 with 2023, and assessing the impact on Equity Market Neutral, Volatility, Multi-Asset Trend, FX Carry and Commodities.
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December 18, 2023 • Posted in Quantitative & Multi-Asset

Advanced Visualization for Quant Strategy Universe - Clustering and Dimensionality Reduction

At the core of modern investment decision-making lies access to high-quality, clean data and the possession of skills to interpret it. Effective data visualization plays a crucial role in simplifying and driving accurate investment decisions.
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August 30, 2023 • Posted in Multi-Asset

Systematic Factor Investing: Juxtaposing Fama-French with Premialab Pure Factors®

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.
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July 27, 2023 • Posted in Multi-Asset & Risk Management

Taxonomy of Tail-Hedging in the US Equity Market

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.
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July 19, 2023 • 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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July 3, 2023 • Posted in Multi-Asset

AI Investments. A new earning machine

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.
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June 7, 2023 • Posted in Risk Premia & Multi-Asset

Does Alternative Risk Premia Diversify? New Evidence for the Post-Pandemic Era

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.
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October 6, 2022 • Posted in Multi-Asset & Optimization

Use Case: Alpha Generation and Assessing Active Risk Decomposition from a Manager

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.
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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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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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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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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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September 23, 2021 • Posted in Risk Premia & Multi-Asset

Virtual Forum: Positioning for Inflation and the Outlook for Commodities

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.
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September 16, 2021 • Posted in Risk Premia & Multi-Asset

Use Case: Inflation Protection with Commodity Strategies – and Some Trend

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.
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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.
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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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May 12, 2020 • Posted in Multi-Asset & Peer Group

Coronavirus vs 2008 Financial Crisis

The COVID-19 pandemic has pushed global markets into unprecedented territory. What does this mean for investors and what can we expect from here?
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April 29, 2020 • Posted in Multi-Asset & Strategy Selection

Trend Strategies: Bright Spot in the Market Meltdown

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.
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