LONDON, July 17,
2024 /PRNewswire/ -- Premialab, a leading provider of
data analytics and risk solutions, announced the expansion of its
Premialab Pure Factors® suite with the introduction of three new
factors designed explicitly for downside protection in volatile
market environments and tail risk mitigation.
Leveraging its database of over 5,000 quantitative investments
strategies provided by 18 leading investment banks, Premialab
has developed a unique multi-factor model capturing the
consensus implementation of systematic strategies. The firm's
existing Premialab Pure Factors® suite includes unique risk
premia factors across all asset classes and regions.
Through rigorous statistical analysis eliminating model specific
noises, Premialab has introduced Premialab Equity US
Dispersion Pure Factor®, Premialab Equity US Long Volatility Pure
Factor®, and Premialab Multi Asset Global Tail Hedge Pure
Factor®, which aim to provide tailored hedging during periods
of market drawdowns and volatility spikes.
Premialab Equity US Dispersion Pure Factor® captures the
implied-realized volatility premium typically found in options
on S&P 500, by taking a short position in index implied
volatility and a long position in single-stock implied
volatility.
Premialab Equity US Long Volatility Pure Factor® capitalizes on
sudden increases in market volatility. As the US market
reference for equity volatility premium and protection during
severe sell-offs, it takes advantage of volatility spikes by
buying options on S&P 500 and VIX futures.
Premialab Multi Asset Global Tail Hedge Pure Factor® comprises
four distinct underlying categories that collectively benefit
from significant market declines. It includes option buying on
S&P 500 and VIX futures, integrates a cross-asset trend
component, and takes long positions in rates volatility.
"Robust performance and risk management tools are imperative in
today's uncertain macro environment," said Adrien Geliot, CEO of
Premialab. "The addition of these bespoke tail risk premia factors
strengthens our quantitative toolkit and ability to help investors
navigate challenging market conditions".
For more information about Premialab's Pure Factors offering and
the newly added factors, please visit www.premialab.com or
contact client-services@premialab.com.
About Premialab
Premialab is the leading independent platform that collaborates
with leading investment banks and institutional investors globally,
providing data, analytics, and risk solutions for systematic,
factor, and multi-asset strategies. With offices in London, Paris, New
York, Hong Kong,
Sydney and Dubai, the company has forged strong
partnerships with the top 18 investment banks, asset managers,
pension funds, and insurance companies globally representing AUM
over 20 trillion USD.
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