Alternatifs liquides
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.
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.
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.
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.
Gestion dynamique des primes de risque
Exploiter le caractère cyclique des facteurs d’investissement.
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.
L'avenir des retraites au Royaume-Uni passe-t-il par les régimes de retraite collectifs à cotisations définies (CDC) ?
Le régime collectif à cotisations définies est dans l’ADN des néerlandais. Peut-il être exporté au Royaume-Uni ?
Investir autrement dans les actions à faible volatilité
Les stratégies put-write affichent des performances quasiment similaires à celles des actions, mais avec des pertes moins fréquentes.
Pourquoi les indices doivent-ils entrer dans le XXIe siècle
Interview du Dr. Andrew Lo
Crisis Alpha
Les managed futures, un refuge potentiel contre les turbulences de marché
Quand les instits regardent les infras
Le point sur une classe d’actifs en pleine mutation : l’investissement en fonds propres dans les infrastructures.