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.
A quarterly look at data and topics in the syndicated loan market.
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.
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.
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.
Persistent cross-asset trends during periods of market stress, crisis alpha and the strategic role of managed futures are explained.
Exploiter le caractère cyclique des facteurs d’investissement.
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.
Le régime collectif à cotisations définies est dans l’ADN des néerlandais. Peut-il être exporté au Royaume-Uni ?
Les stratégies put-write affichent des performances quasiment similaires à celles des actions, mais avec des pertes moins fréquentes.
Interview du Dr. Andrew Lo
Les managed futures, un refuge potentiel contre les turbulences de marché
Le point sur une classe d’actifs en pleine mutation : l’investissement en fonds propres dans les infrastructures.