When bonds struggle, so does alt premia – research

Ties between alternative risk premia and fixed income closer than appreciated

A quant fund performance slump, coupled with shifting central bank policy, is prompting analysts to scrutinise links between rates and the risk premia underlying many quant strategies. They have found signs of closer ties than investors might expect.

With the Federal Reserve hiking rates and the European Central Bank bringing its quantitative easing (QE) regime to a close, the fear is that rising interest rates could hurt these strategies in future, sapping their potential as a diversifier when