Banks concoct fixed income alternative premia 2.0

Fixed income was a rare winner in a terrible 2018 for alternative risk premia. More complex iterations are on the way

After a gruesome year for alternative risk premia, banks have a new idea: fixed income.

Or a new take on an old one. As much of the market churned last year, fixed income strategies managed to go higher. So quants have been working overtime to come up with 2.0 versions of fixed income strategies as they revamp their battered slates of alt premia product.

Caio Natividade, head of cross-asset quant research at Deutsche Bank, calls fixed income the sector’s “next frontier”.

Elsewhere, the