Among the investment approaches that explicitly target risk premia, Quantitative Investment Strategies (QIS) have grown rapidly in recent years. These strategies provide systematic exposure to risk premia across asset classes and are increasingly used by institutional investors as building blocks for portfolio diversification and alternative sources of return.

Although risk premia have historically delivered positive excess returns over long horizons, their realized performance can vary significantly through time. A large body of literature has examined whether and how investors can time factor exposures (e.g., Asness and al., 2017). Intuitively, periods in which carry spreads are wide, valuation dislocations are pronounced, or trends are persistent may provide favorable conditions for systematic strategies. Conversely, when these premia compress or market dynamics change, strategy performance may weaken.

For investors allocating to these strategies, as well as for those monitoring the broader factor environment, an important practical question therefore arises: how can current market conditions be interpreted in terms of the attractiveness of underlying risk premia and the expected performance of strategies that harvest them?

Premialab Signals provide a quantitative representation of the economic drivers of systematic returns — including carry, trend, and value dynamics — across commodity, fixed income, equity and foreign exchange markets. By aggregating information across multiple underlying markets, these signals measure the current attractiveness, or richness, of the corresponding risk premia.

This paper proposes a framework that links Premialab Signals to subsequent factor performance, enabling a systematic interpretation of how prevailing market conditions relate to expected returns of risk premia strategies.

To evaluate how these conditions translate into realized performance, the analysis uses Premialab Pure Factors® as reference benchmarks. Pure Factors are constructed from a large cross-section of investable Quantitative Investment Strategies and are designed to represent the consensus implementation of systematic risk premia across the industry.