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 28, 2021 • Posted in Attribution & Risk Premia

Best Performing Equity Large Cap Growth & Value Funds, July 2021

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.
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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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April 28, 2021 • Posted in Attribution & Risk Premia

Best Performing Equity Large Cap Growth & Value Funds, April 2021

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.
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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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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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