Premia


 

The projected risk premium for the Global Market Index (GMI) edged higher again in July. The projected premium for each asset class is calculated as the product of the three inputs above.

asset allocation current estimate forecast gmi market premia premium term year

 

The expected risk premium for the Global Market Index (GMI) continued to rise in June. The basic idea is to reverse engineer expected return based on assumptions about risk.

asset allocation current estimate forecast gmi market performance premia premium term

 

The projected risk premium for the Global Market Index (GMI) ticked higher in May. The projected premium for each asset class is calculated as the product of the three inputs above.

asset allocation current estimate forecast gmi market performance premia premium term

 

Risk Premia Market Timing? [0.08]

Posted on May 10, 2017, 11:30 p.m. by I AM QUANT BEAR @ [source]

Here it goes, finally a strategy backtest (sort of) on this blog (what an intro).

In their 1973 paper “Risk, Return and Equilibrium: Empirical Tests”, Fama and MacBeth introduce a method for estimating betas and risk premia for any risk factors that determine asset prices.

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The expected risk premium for the Global Market Index (GMI) fell in April, marking the first decline since last August. GMI, an unmanaged market-value weighted mix of the major asset classes, is projected to earn an annualized 5.2% (over the “risk-free” rate) in the long run – 20 basis points lower vs. last month’s estimate.

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The expected risk premium for the Global Market Index (GMI) continued to rise in March. GMI, an unmanaged market-value weighted mix of the major asset classes, is projected to earn an annualized 5.4% (over the “risk-free” rate) in the long run – 50 basis points above last month’s estimate.

allocation asset classes current estimate gmi market month moving performance premia

 

A Skeptic’s Guide to Factor Investing [0.08]

Posted on March 21, 2017, 6 a.m. by Investresolve @ [source]

There is a great deal of evidence supporting the existence of alternative sources of excess returns, such as value, momentum and low risk. Factor investing is real; In fact, these factors are observed in virtually every market and asset class around the world.

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The expected risk premium for the Global Market Index (GMI) increased sharply in February.

Today’s update also represents a substantial rebound for GMI’s risk-premium outlook from the below-3.0% estimates that prevailed as recently as late-2015 and early 2016.

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The projected risk premium for the Global Market Index (GMI) was unchanged for a second month in a row in January, holding steady at the highest level in over two years.

Although GMI’s forecast was stable last month, the current risk-premium outlook continues to mark a rebound from the below-3.0% estimates in late-2015 and early 2016.

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The expected risk premium for the Global Market Index (GMI) held steady in December, remaining at the highest level in over two years.

Adjusting for short-term momentum and longer-term mean-reversion factors (defined below) trims GMI’s current ex ante risk premium to an annualized 4.1%, although this projection also marks a rebound vs. estimates in recent history.

allocation asset classes current estimate gmi market month moving premia projected

 

The expected risk premium for the Global Market Index (GMI) continued to rise in November, reaching the highest level in more than two years.

Today’s update, which is based on data through November, continues to mark a recovery in the outlook for GMI’s risk premium after sliding in 2015 and early 2016 that left the projection below 3.0% for several months.

allocation asset classes current estimate gmi market month moving premia projected

 

A growing number of investors have come to view their portfolios (especially equity portfolios) as a collection of exposures to risk factors. The most prevalent and widely harvested of these risk factors is the market (equity risk premium); but there are also others, such as value and momentum (style premia).

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The Global Market Index’s expected risk premium held steady in October, sticking to the highest level since May 2015. GMI — an unmanaged market-value weighted mix of the major asset classes — is expected to earn an annualized 3.9% risk premium over the long term, unchanged from last month’s estimate.

allocation asset classes current estimate gmi market month moving premia premium

 

Taxonomy of CTAs [0.01]

Posted on Oct. 12, 2016, 9:24 a.m. by Quantpedia.com blog @ [source]

Title: Just a One Trick Pony?

Recently a range of alternative risk premia products have been developed promising investors hedge fund/CTA like returns with higher liquidity, transparency and relatively low fees.

alternative BarclayHedge correlated correlation cta fund fundamental premia returns strategies sub

 

The Global Market Index’s expected risk premium ticked higher in September, rising to a 17-month high. GMI—an unmanaged market-value weighted mix of the major asset classes—is expected to earn an annualized 3.9% risk premium over the long term, moderately above last month’s estimate.

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