Strategies

Risk Premia

Alternative risk premia (“ARP”) strategies are a category of hedge fund strategies that aim to systematically isolate and harvest excess returns from exposure to specific risk factors, or returns arising from behavioral or structural market anomalies. We have implemented well-known ARP strategies covering several asset classes including: equities, fixed-income, FX and commodities. 

Explore 25 ARP interactive performance analytic widgets across carry, value, momentum, volatility and tail risk.  Within the widgets you can select from 8 different analyses, and customize the time period.

Discover how we constructed these ARP strategies. 

Note: Risk/return statistics based on simulated data (in USD) analyzed by SigTech.

Methodology
Have a system
Equity Index
Equity Single Stocks
Fixed-Income 
Reduce friction
FX
Commodities
Baskets
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Equity Index Momentum

INVESTMENT UNIVERSE
16 developed and 9 emerging markets

SIGNAL
12 minus 1 month price momentum

PORTFOLIO CONSTRUCTION
Long top 25% / short bottom 25%, quarterly rebalancing

Equity Index Volatility

INVESTMENT UNIVERSE
S&P 500, Nikkei 225, EURO STOXX 50

SIGNAL
Selling at-the-money-straddles

PORTFOLIO CONSTRUCTION
Equal-weighted basket

Equity Index Tail Risk

INVESTMENT UNIVERSE
S&P 500, Nikkei 225, EURO STOXX 50

SIGNAL
Buying 3M 10% out-of-the-money puts

PORTFOLIO CONSTRUCITON
Equal-weighted basket

Equity Single Stocks Carry

INVESTMENT UNIVERSE
500 largest US stocks by market capitalization

SIGNAL
Dividend yield

PORTFOLIO CONSTRUCTION
Long top 25% / short bottom 25%, quarterly rebalancing

Equity Single Stocks Value

INVESTMENT UNIVERSE
500 largest US stocks by market capitalization

SIGNAL
Combined Z-score based on PE, PB and PCF

PORTFOLIO CONSTRUCTION
Long top 25% / short bottom 25%, quarterly rebalancing

Equity Single Stocks Momentum

INVESTMENT UNIVERSE
500 largest US stocks by market capitalization

SIGNAL
12 minus 1 month price momentum

PORTFOLIO CONSTRUCTION
Long top 25% / short bottom 25%, quarterly rebalancing

Fixed Income Carry

INVESTMENT UNIVERSE
G10 government bond futures

SIGNAL
Implied roll yield

PORTFOLIO CONSTRUCTION
Long top 25% / short bottom 25%, quarterly rebalancing

Fixed Income Value

INVESTMENT UNIVERSE
G10 government bond futures

SIGNAL
Duration-weighted yield to maturity

PORTFOLIO CONSTRUCTION
Long top 25% / short bottom 25%, quarterly rebalancing

Fixed Income Momentum

INVESTMENT UNIVERSE
G10 government bond futures

SIGNAL
12 minus 1 month price momentum

PORTFOLIO CONSTRUCTION
Long top 25% / short bottom 25%, quarterly rebalancing

FX Carry

INVESTMENT UNIVERSE
G10 currencies

SIGNAL
Central bank overnight interest rate

PORTFOLIO CONSTRUCTION
Long top 25% / short bottom 25%, quarterly rebalancing

FX Value

INVESTMENT UNIVERSE
G10 currencies

SIGNAL
Ratio 5Y average FX rate to OECD PPP rate

PORTFOLIO CONSTRUCTION
Long top 25% / short bottom 25%, quarterly rebalancing

FX Momentum

INVESTMENT UNIVERSE
G10 currencies

SIGNAL
12 minus 1 month price momentum

PORTFOLIO CONSTRUCTION
Long top 25% / short bottom 25%, quarterly rebalancing

FX Volatility

INVESTMENT UNIVERSE
G10 currencies

SIGNAL
Selling at-the-money-straddles

PORTFOLIO CONSTRUCTION
Equal-weighted basket

FX Tail Risk

INVESTMENT UNIVERSE
G10 currencies

SIGNAL
Buying 3M 10% out-of-the-money puts

PORTFOLIO CONSTRUCTION
Equal-weighted basket

Commodities Carry

INVESTMENT UNIVERSE
GSCI proxy of 24 sub-indices

SIGNAL
Implied roll yield

PORTFOLIO CONSTRUCTION
Long top 25% / short bottom 25%, quarterly rebalancing

Commodities Momentum

INVESTMENT UNIVERSE
24 sub-indices of GSCI proxy

SIGNAL
12 minus 1 month price momentum

PORTFOLIO CONSTRUCTION
Long top 25% / short bottom 25%, quarterly rebalancing

Commodities Tail Risk

INVESTMENT UNIVERSE
Brent and gold futures

SIGNAL
Buying 3M 10% out-of-the-money puts

PORTFOLIO CONSTRUCTION
Equal-weight basket

Commodities Value

INVESTMENT UNIVERSE
24 sub-indices of GSCI proxy

SIGNAL
Deviation from 3Y mean assuming mean reversion

PORTFOLIO CONSTRUCTION
Long top 25% / short bottom 25%, quarterly rebalancing

Commodities Volatility

INVESTMENT UNIVERSE
Brent and gold futures

SIGNAL
Selling at-the-money-straddles

PORTFOLIO CONSTRUCTION
Equal-weighted basket

ERC Multi-strategy Basket

ERC Carry Basket

ERC Momentum Basket

ERC Tail Risk Basket

ERC Value Basket

ERC Volatility Basket

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