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Quantitative

December 8, 2022 • Posted in Quantitative & Optimization

Creating Factor Clusters in the US Liquid Alternatives Universe

We identified 9 clusters within 269 US Liquid Alternatives using Premialab Pure Factors and the performance and factor characteristics of the funds.
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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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March 2, 2022 • Posted in Quantitative & Optimization

2021 Premialab Markets Review

This paper provides a review of the market, analyzing performance in 2021 across diversified multi-asset alternative risk premia and offering an overview of the following global factors: equity market neutral, multi-asset trend, and multi-asset volatility.
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January 19, 2022 • Posted in Quantitative & Optimization

White Paper: Creating Factor Clusters in the Alternative UCITS Universe

Using a novel quantitative process utilizing Premialab Pure Factor®, we identify seven “clusters” with a universe of 323 Alternative UCITS based on their performance and factor characteristics.
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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.
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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.
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November 16, 2020 • Posted in Quantitative & Diversification

Momentum: Crushed by the Vaccine

The Momentum factor saw a plunge of unprecedented magnitude in early November. This commentary aims to interpret recent market dynamics from a factor perspective and update participants on the evolving factor environment.
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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?
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April 17, 2020 • Posted in Quantitative & Peer Group

Alternative Risk Premia vs Hedge Fund

Challenging markets in Q1 2020 resonated across all market segments, and Hedge Funds were not spared.
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