Alternative Liquid
Managed Futures and Macro Uncertainty: Navigating the Extremes
This conceptual whitepaper examines how trend-following strategies tend to behave in uncertain, changing macro environments and how these can be complementary within an investor’s portfolio.
Loomis on Loans – Q1 2022
A quarterly look at data and topics in the syndicated loan market.
Quantifying Turbulence in Trend Following
AlphaSimplex examine how often turbulence is high on both a daily and monthly basis and use a novel method to classify what forces are driving turbulence: magnitude surprises or correlation surprises.
Inflation & How to Hedge Portfolios
Rightly or wrongly, the investor believes there is a link between inflation and more volatility in equity markets. An investor who is concerned over a rising equity risk in his portfolio may opt for an overlay strategy to reduce it, rather than government bonds.
AlphaSimplex: Three Themes of 2021
From a trend-following perspective, three new themes have emerged in 2021 as aftermath of the pandemic and as potential trends: inflation, the end of the great bond bull market trend, and value/growth style rotations in equity markets.
The Realities of Realizing Risk
AlphaSimplex Group’s Chief Research Strategist analyses realized risk over recent crisis periods in global markets and considers future implications.
Volatility: Banking on Behavioural Economics
Why a rise in regulation and the exogenous shock of a pandemic have skewed the volatility risk premium firmly in investors’ favour.
Trends Everywhere 2020
What happened and which trends worked well in 2020?
2021 Preqin Global Hedge Fund Report: Risk Premia Investing Should Be Dynamic
Alternative risk factors, or premia, can be used to exploit the cyclical nature of the global economy.
The Advent of the Pandemic Factor
The Pandemic Factor, Alpha Simplex Group’s quantitative factor aiming at identifying the daily influence of the coronavirus pandemic on stocks’ returns, may help investors manage risk and construct better portfolios.
Volatility Hedging: from Theory to Reality
Downside protection really paid off in 2020. But it’s not as simple as buying the VIX.
What Is Crisis Alpha? How Do Some Managed Futures Strategies Pursue It?
Persistent cross-asset trends during periods of market stress, crisis alpha and the strategic role of managed futures are explained.
Dynamic Risk Premia
Exploiting the cyclicality of investment factors.
Markets in Motion: The Return of Trend
Fundamental investors tend to be skeptical of price-based strategies, because they generally believe that markets are efficient. Yet, during certain scenarios, markets move in unexpected directions temporarily exhibiting price momentum.
Sources of Return Dispersion in Alternative Risk Premia
ASG Research has identified eight sources of potential return dispersion across portfolios of risk premia strategies. A simulation analysis shows, returns can quite differ based on few alterations of these sources.
Crisis or Correction?
Managing expectations for managed futures and crisis alpha.
CTA Market Size Factor: Bigger was Better in 2018
Since the size of different futures markets varies from contract to contract, having risk in a number of smaller markets can provide better returns.
A Look at Trend Following Strategies, Past and Present
Going into 2019, trend following strategies are positioned for potential change.
CDC Pensions and the Future of UK Retirement
Collective defined contribution (CDC) is part of the fabric of Dutch society. Could it be exported to the UK?
Low vol Equity: There's Another Way
"Put-write" strategies have nearly kept pace with U.S. equities, but with fewer drawdowns
Time to Re-invent the Default Wheel?
How a combination of member profiling and applying a risk-first investment approach improves member outcomes.
Why Indexes Need to Enter the 21st Century
Q&A with Dr. Andrew Lo.
Crisis Alpha
Managed futures may provide shelter from storms and diversified returns in calm markets.