Alternative Liquid

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.

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.

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.

AlphaSimplex Group’s Chief Research Strategist analyses realized risk over recent crisis periods in global markets and considers future implications.

Why a rise in regulation and the exogenous shock of a pandemic have skewed the volatility risk premium firmly in investors’ favour.

What happened and which trends worked well in 2020?

Alternative risk factors, or premia, can be used to exploit the cyclical nature of the global economy.

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.

Downside protection really paid off in 2020. But it’s not as simple as buying the VIX.

Persistent cross-asset trends during periods of market stress, crisis alpha and the strategic role of managed futures are explained.

Exploiting the cyclicality of investment factors.

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.

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.

Managing expectations for managed futures and crisis alpha.

Since the size of different futures markets varies from contract to contract, having risk in a number of smaller markets can provide better returns.

Going into 2019, trend following strategies are positioned for potential change.

Collective defined contribution (CDC) is part of the fabric of Dutch society. Could it be exported to the UK?

"Put-write" strategies have nearly kept pace with US equities, but with fewer drawdowns.

How a combination of member profiling and applying a risk-first investment approach improves member outcomes.

Q&A with Dr. Andrew Lo.

Managed futures may provide shelter from storms and diversified returns in calm markets.