The way the world does business has changed significantly over the last two decades, especially when it comes to the…
A US pioneer in quantitative indices joins Quantilia top-tier providers this week. Sign in and discover these new leading socially…
Smart beta indices are growing on the platform, with the addition of close to 30 indices targeting value and…
When it comes to build a balanced cross asset portfolio of Risk Premia, one of the issues that needs to be addressed is the relative weight of each asset class
Let’s consider a portfolio of 8 absolute return Risk Premia strategies, from different providers and asset classes, and having at least 3 years of track record.
Managing a portfolio of Risk Premia indices requires accurate tools and analytics to help investors define the exact weighting scheme suited to their needs. For
With the market for smart beta and risk premia products maturing, emphasis is shifting from the selection of individual strategies towards building portfolios.
The low volatility factor provides a mechanism for investors to control risk while generating similar returns to the market.
Some smart beta providers are targeting alternative factors amid the rapid growth in the number of products available in the market.
Including a tolerance threshold can improve information ratios with only a marginal increase in volatility. A study by Quantilia
Adding a maximum weight limit to an ERC portfolio does not affect its information ratio, but lower weight caps are associated with higher return and volatility.
A report by Quantilia found that large window sizes deliver the best mean rolling information ratios for portfolios.