Knowledge

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.

This paper provides a review of the factor performance in 2022 across diversified multi-asset alternative risk premia and a summary on how the macroeconomic environment has impacted global factor performance: equity market neutral, multi-asset trend and commodity factors.

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.

Factor investing has gained substantial attention in recent years as a powerful investment strategy used by sophisticated investors to enhance their portfolio returns.

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

A practical use case showcasing examples of how Premialab proprietary benchmarks on risk premia and factor performances can be used in conjunction with equity factor models to assess and manage associated risk.

When institutional investors decide to venture into Quantitative Investment Strategies (QIS) systematic factors, they often encounter various obstacles that require careful consideration and strategic solutions.

Alternative Risk Premia (ARP) refers to a set of investment strategies that aim to capture risk premiums beyond traditional asset classes like stocks and bonds.

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.

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.

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.

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.