When bonds struggle, so does alt premia – research

Ties between alternative risk premia and fixed income closer than appreciated

Interconnected

A quant fund performance slump, coupled with shifting central bank policy, is prompting analysts to scrutinise links between rates and the risk premia underlying many quant strategies. They have found signs of closer ties than investors might expect.

With the Federal Reserve hiking rates and the European Central Bank bringing its quantitative easing (QE) regime to a close, the fear is that rising interest rates could hurt these strategies in future, sapping their potential as a diversifier when

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: