Risk premia
Bull run shows up differences in factor strategies
Market exposure, factor construction and risk budgeting have impact, writes Luc Dumontier of LFIS
Structured products house of the year: UBS
Risk Awards 2018: Swiss bank connects clients with cheap execution and innovative investment products – even when offered by rivals
Quants stymied by lack of alternative risk premia flows data
Data shortage is hampering efforts to model futures market liquidity
Why factor crowding fears are overblown
Factor investing has little impact on exposures, claims La Française Investment Solutions
Bayesian analysis in an aggregate loss model: validation of the structure functions
This paper considers the empirical evaluation of a collective risk model with the geometric as the primary distribution and the exponential as the secondary distribution.
Banks shelving alternative beta products at increasing pace
Data suggests overfitting partly to blame for mothballing of two in five strategies
Andrew Lo’s theory to beat a theory
Author of Adaptive Markets tells Risk.net what his ideas mean for investors and regulators
Ten commandments for alternative premia investing
What to watch out for when constructing alternative premia portfolios
Taking aim at efficient market theory
Winton founder David Harding slams ‘weak’ theoretical basis for alternative beta
Buy-side risk managers doubt own liquidity metrics
Risk Hedge Europe attendees say they lack formal measures of liquidity
Risk premia providers claim Brexit success
Index providers say strategies passed critical test convincingly
Where the smart money is
Sponsored Q&A: Jane Street, Societe Generale CIB, WisdomTree Europe
Liquidity obsession 'irrational', says UK rail pension head
Chief executive of railways pension group says cost controls more important
Dealers fear death of dividend risk premia strategy
Shrinking dividend futures premium hurting investors
Overcrowding puts low volatility indexes under pressure
Inflows increasing correlations and reducing performance, say traders
Commodity premia: It’s all about risk control
Strategies based on commodity risk premia can be rewarding – but beware common pitfalls
Isolating a risk premium on the volatility of volatility
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
Best in Spain: Commerzbank
New payoffs and underlyings enhance yield opportunities
Equity derivatives house of the year: Societe Generale
Market-leading business up 61% year-on-year in Q2
Best bank, equity risk: Societe Generale
SG wins with jumbo trades and product innovation
Former Investcorp CIO launches alternative risk premium firm
ARP Investments offers cut-price exposure to popular hedge fund strategies
Institutional investor of the year: Dow Chemical Pension Plans
Fund’s decision to embrace risk premia strategy pays off
Tail risk premiums versus pure alpha
Tail-risk skewness, rather than volatility, is correlated with risk premiums
Expected drawdown parity tackles tail risk
GAM portfolio construction offers alternative to backward-looking methods