April 3, 2024 • Posted in Quantitative & Optimization

Quantitative Investment Strategies and Hedge Funds: A Comparative Analysis

QIS provide investors with advantages such as lower fees, a transparent investment framework, and comparable market exposure to various hedge fund products. With multiple structural benefits, the QIS market has experienced consistent growth over the past years, with the current market estimated at over $700 billion in AUM.
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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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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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July 15, 2022 • Posted in Quantitative

Quantitative Investment Strategies: Maximizing Returns with Systematic Factor Investing

In the dynamic world of investment, the pursuit of returns while managing risk is an ongoing challenge. Quantitative investment strategies, particularly systematic factor investing, offer a methodical and data-driven approach to optimize your investment portfolio.
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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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