Multi‑Asset Risk Premia

Overview

Our risk‑premia portfolios blend carry, value, momentum and defensive exposures across equities, rates, FX, commodities and credit indices. The goal is not to time a single asset class, but to harvest structurally diverse premia under a unified risk budget.

We favor transparent, rules‑based construction with clear links from factor definitions to trade implementations. That makes it easier to understand where returns come from and how they might behave in different macro environments.

Implementation

• Cross‑asset diversification across equities, rates, FX, commodities and credit indices.
• Dynamic risk parity and clustering‑aware sizing to manage correlations.
• Term‑structure and roll‑aware handling of futures and forwards.
• Liquidity‑aware position limits and rebalancing schedules.

Portfolio design

• Volatility targeting with explicit drawdown budgets for each sleeve.
• Stress testing across historical crises and user‑defined macro scenarios.
• Blend of directional premia and relative‑value components.
• Configurable hedging overlays when capital preservation is the priority.

Use cases

Risk‑premia portfolios can complement traditional 60/40 allocations, sit inside multi‑asset mandates or act as the systematic core of an alternatives allocation.

• Core diversifiers alongside discretionary macro and equity long‑only.
• Building blocks for target‑volatility or risk‑parity solutions.
• Return‑seeking sleeves with explicit drawdown and liquidity constraints.

Related offerings

• Systematic Strategies
• Research & Engineering