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.

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.

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.

Our new series of 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.

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.

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.

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.

2020 has been very challenging with sharp underperformance and dispersion across low volatility implementation. How can we explain performance and positioning?

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