alternative risk premia research.

Improving through research: learn from experience, adapt to new market dynamics and stay focused on objectives

 

During recent years, we have engaged in extensive research in order to make our LOIM Alternative Risk Premia (ARP) strategy more robust and less sensitive to market conditions.  Our ultimate objective remains, as always, to deliver true uncorrelated returns to investors. 

  • Our research was concentrated on rethinking the access to some premia (such as volatility and trend-following). We believe these premia have been the most impacted by harsh market rotations, which we have been observing more frequently during recent times.  We have also revisited our approach to Equity style factors, as these “popular” styles were significantly under pressure. 
  • Diversification being key, we developed new strategies, orthogonal to the existing ones. The main characteristics of this endeavor is to be focused on arbitrage opportunities (non-directional / no hidden Beta), to be uncorrelated to their primary markets, and to exhibit a limited decay and/or which are not already known and not crowded.
  • Latest leading and innovative technologies have been at the heart of our latest research efforts. We have engaged in AI / Machine Learning development to further strengthen our capabilities in order to find and generate new Alpha investment opportunities.

We have listed below our research that we have published as well as the enhancements we have carried out during recent times. Please click on the individual buttons below to read our research.

Please reach out to Clement Leturgie in Europe or Jessie Schenker in the US for any further information.
 

 

important information.

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