Why re-correlation matters in alternative premia investing

Understanding key risk can be difference between success and failure

Luc Dumontier is head of factor investing and senior portfolio manager at La Française Investment Solutions in Paris.

This article studies the conditions in which alternative premia solutions can generate consistent positive returns as well as those that lead to significant drawdowns. A second article will set out 10 commandments to address the risks identified.

 

If you believe the many simulations by asset managers and investment banks, alternative premia¹ solutions should have delivered regul