Strategy Managed futures strategies
This type of strategy is based on a simple idea: try to take advantage of an exposure on futures contracts («Futures») with the underlying being a financial instruments or a commodity ...
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Strategy Alternative risk premia weathering Brexit storm well
Pierre-Yves Moix, co-manager of the Alternative Risk Premia strategy at GAM, comments on how the growing alternative risk premia industry has delivered strong performance in the uncertain Brexit environment – proving once again its strong diversification and market neutral (...)
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Strategy The index revolution (finally) comes to hedge funds
One common knock on factor models is that they “replicate only beta” – not the pure alpha gold that allocators seek. This critique pre-dates the appreciation of factor rotations. Outside of some ivory tower statistics class, no one questions the “alpha” generated by, for (...)
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Strategy Climate Change and agriculture : risks and opportunities
According to Schroders’ Climate Change investment team, climate change acts as a threat multiplier to the sector on top of the dual impacts of the increased demand and decreased supply, and that this will present various investment opportunities throughout the value (...)
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Strategy How do L/S Equity Hedge Funds position on the recovery?
The consensus now expects a supportive 2021 backdrop for risky assets. With vaccines rolling out and continued reflation policies, the normalization of the world economy would accelerate, amid lower geopolitical uncertainties, still ample global (...)
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Strategy The EM FX carry trade is back
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Strategy Does a liquidity factor premium exist in the stock market?
Academic studies present ample evidence in support of the existence of four factor premiums in stock markets: Low Risk, Value, Momentum, and Quality. Factor investing puts these concepts into practice by enabling investors to allocate their capital explicitly to these (...)
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Strategy Forex, a value added in an allocation between real and financial assets
The foreign exchange market (Forex) is not an extra asset class but all asset classes together in the same market. It can be a real source of diversification and performance subject to a systematic, disciplined and rigorous (...)
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Strategy The Euro’s Survival and traditional asset classes prospects for 2012
On the basis of the survival «in fine» of the Euro through a constrained and massive indirect monetization from the ECB, what are the expectations for 2012 on foreign exchange, short-term rates, long-term rates and (...)
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Strategy Good luck with timing CTAs - Favor core allocation
Timing CTAs is notoriously challenging. Monitoring their exposures provides a useful picture but has rarely been a reliable allocation method. They enjoyed an impressive rally this year, mainly supported by their long bond positions, which fueled high CTAs returns’ (...)
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Strategy In troubled markets, the dividend is what the investor remembers when he has forgotten everything
According to Eric Labbé, Thematic equity manager at CPR AM, for 2019, the high dividend strategy is therefore an advantageous alternative in the framework of defensive equity management in the context of a challenging (...)
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Strategy CTAs lead the pack in April
For the second month in a row, CTAs outperformed hedge fund strategies in April. According to the Lyxor CTA peer group, the strategy was up +1.6% in April, which brings the year-to-date performance close to +5%.
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Strategy Are L/S Equity Managers playing the European Recovery?
Economic prospects in Europe are noticeably improving. The new wave of virus infections since late fall 2020 led to tighter mobility restrictions, which delayed the European recovery. High frequency indicators suggest economic activity was down around 20% from normal over (...)
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Strategy JPY at risk of reversal: who wins? who loses?
JPY and Japanese equities were the outcast of the rally, in diffidence of Abenomics’ and BoJ’s chances of success. They bear a risk of a reversal ahead of the coming BoJ meetings (April 28 & June 16) and the July Upper House (...)
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Strategy Dollar depreciation helps CTAS
Since the U.S. presidential election on November 3 th, the USD has started a descent that may have legs under the new administration. The easing of trade tensions and an accommodative policy mix could put additional pressure on the DXY, which was down -1.7% since the (...)
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