How to Use Premialab Pure Factors® in Conjunction with Traditional Equity Factor Models

This Use Case demonstrates the practical application of Premialab Pure Factors® in conjunction with equity factor models to assess and manage associated risks. Premialab Pure Factors® capture the market factor implementation consensus across various asset classes, while eliminating model-specific interference.

We showcase two use cases. To highlight:

  1. Benchmarking vendor implementations of specific equity styles

  2. Detecting non-equity risk in equity portfolios.

In the first use case, we compare different implementations of the US Value factor, highlighting the significant differences in performance during the COVID-19 crisis. We analyze the performance and risk of a particular ETF against Premialab Pure Factors® and a widespread value implementation.

The second use case focuses on detecting non-equity exposures in equity portfolios using Premialab’s factor model, which demonstrates how factors contribute significantly to the variance explained, particularly in relation to non-equity risks in risk management.

Overall, both use cases highlight the value of Premialab Pure Factors® in ensuring alignment with consensus implementations and detecting non-equity risks, enhancing the accuracy and effectiveness of risk assessment and management in investment strategies.

Want to read more?

Read the Full Article

Thank you for your interest. Please submit your information to receive this premium article.

Related Insights

Discover the power of Premialab

Interested in learning more? Reach out to us to speak with one of our expert consultants.

Request a Demo