Monday, February 17, 2025

This file contains up to the first 189 matches to your criteria. If you do not see your selection please refine your criteria and

Doc ID Published Date Analyst

GPS-4908732-0 12/02/2025 00:15 William Summer
GPS-4905253-0 10/02/2025 16:24 Olivier Daviaud, PhD, CFA
KAL-1-OL4T17J2 14/01/2025 08:00 Dobromir Tzotchev, PhD
GPS-4879255-0 10/01/2025 16:48 Thomas Salopek
GPS-4866971-0 17/12/2024 07:00 Dobromir Tzotchev, PhD
GPS-4865936-0 11/12/2024 07:00 Dobromir Tzotchev, PhD
KAL-1-6PI782RJ 10/12/2024 09:00 Dobromir Tzotchev, PhD
GPS-4860563-0 06/12/2024 16:47 Thomas Salopek
GPS-4859525-0 04/12/2024 13:02 Dobromir Tzotchev, PhD
GPS-4851300-0 20/11/2024 18:36 Dobromir Tzotchev, PhD
GPS-4820525-0 14/11/2024 16:18 Robert Smith, PhD
KAL-1-LR86SCHD 05/11/2024 14:45 Dobromir Tzotchev, PhD
GPS-4814058-0 04/11/2024 16:45 Thomas Salopek
GPS-4805057-0 23/10/2024 12:15 Dobromir Tzotchev, PhD
KAL-1-F60W23W2 11/10/2024 13:45 Dobromir Tzotchev, PhD
GPS-4815268-0 10/10/2024 11:54 Thomas Salopek
GPS-4806089-0 27/09/2024 19:14 Dobromir Tzotchev, PhD
GPS-4667491-0 25/09/2024 10:00 Thomas Salopek
GPS-4802227-0 23/09/2024 15:52 Dobromir Tzotchev, PhD
KAL-1-D6AHQD5X 11/09/2024 07:45 Dobromir Tzotchev, PhD
GPS-4792055-0 10/09/2024 14:13 Thomas Salopek
GPS-4778509-0 23/08/2024 11:41 Dobromir Tzotchev, PhD
GPS-4768007-0 09/08/2024 13:53 Thomas Salopek
GPS-4765125-0 07/08/2024 23:10 Dobromir Tzotchev, PhD
GPS-4746796-0 01/08/2024 16:07 Ipek Ozil
KAL-1-VR4RR7AT 12/07/2024 08:00 Dobromir Tzotchev, PhD
GPS-4744498-0 11/07/2024 15:48 Thomas Salopek
GPS-4729654-0 26/06/2024 18:43 Min Moon
GPS-4726883-0 18/06/2024 15:23 Dobromir Tzotchev, PhD
KAL-1-N0O9SWBL 07/06/2024 16:30 Dobromir Tzotchev, PhD
GPS-4719077-0 07/06/2024 12:58
GPS-4711531-0 28/05/2024 16:28 Dobromir Tzotchev, PhD
KAL-1-QMQSH9NZ 13/05/2024 16:30 Dobromir Tzotchev, PhD
GPS-4696589-0 10/05/2024 13:48
GPS-4666661-0 03/05/2024 00:10 Jonny Goulden
KAL-1-ATGS2BWD 10/04/2024 16:00 Dobromir Tzotchev, PhD
GPS-4669493-0 10/04/2024 13:57
GPS-4600134-0 11/03/2024 13:09 Thomas Salopek
KAL-1-L3KF6NE1 11/03/2024 08:00 Dobromir Tzotchev, PhD
GPS-4647923-0 08/03/2024 14:15
GPS-4630257-0 20/02/2024 16:52 Dobromir Tzotchev, PhD
KAL-1-9LY8LHVI 12/02/2024 08:00 Dobromir Tzotchev, PhD
GPS-4623288-0 09/02/2024 13:45
KAL-1-A19QSAON 05/02/2024 08:00 Dobromir Tzotchev, PhD
GPS-4597987-0 02/02/2024 20:18 Evan Hu
iteria. If you do not see your selection please refine your criteria and search again.

Headline
2025 Macro Quantitative & Derivatives Conference - London Conference Summary through Illustrations
Quantitative Perspectives on Cross-Asset Risk Premia - How to get optimal equity factor exposure, Systematic short Rates
VIDEO: Quantitative Perspectives on Cross-Asset Risk Premia: 2024 review, QIS implementations of cross-asset views, s
Quantitative Perspectives on Cross-Asset Risk Premia - 2024 review, QIS implementations of cross-asset views, short vol
Portfolio optimization with options - A method to weight historical scenarios
Cross Asset Systematic Highlights - Closer look at Rates Risk Premia Strategies
VIDEO: Quantitative Perspectives on Cross-Asset Risk Premia: Implications of the 2025 outlooks for QIS investors -
Quantitative Perspectives on Cross-Asset Risk Premia - Implications of the 2025 outlooks for QIS investors
Cross-Asset Systematic Strategy - Momentum Analysis: Dynamically switching between Individual and Network Momentum
Risk Premia Highlights - Time is ripe for Alternative Risk Premia (ARP)
J.P. Morgan digest on risk premia strategies - Summary of Q3’24 research reports on systematic investing
Quantitative Perspectives on Cross-Asset Risk Premia: US elections effect on ARP performance and Puts vs defensive tre
Quantitative Perspectives on Cross-Asset Risk Premia - US elections effect on ARP performance and Puts vs defensive tr
0DTE options - The Day-of-the-week effect: Connecting vol premium with flows
Quantitative Perspectives on Cross-Asset Risk Premia: Performance review, The right strikes for your SPX hedge and AR
Quantitative Perspectives on Cross-Asset Risk Premia - The right strikes for your SPX hedge, ARP when Fed is easing an
Cross Asset Strategy - ‘Leaders and Followers’ for a broader cross asset universe
FX Carry via Options - Deploy premium and sleep well at night
Resilient option carry through dynamic strikes selection - An update
Quantitative Perspectives on Cross-Asset Risk Premia: Performance review, Trend-Following in cross-asset factors, ETF-f
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, TF in x-asset factors, ETF-flow sector rotatio
Same-day options on SPX - 0DTEs from a systematic trading perspective
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, Timing equity factors, SPX Put ratio tail hedg
Cross Asset Strategy - Quant approach to “Leaders and Followers”
J.P.Morgan digest on risk premia strategies - Summary of Q2’24 research reports on systematic investing
Quantitative Perspectives on Cross-Asset Risk Premia: Performance review, Option carry, Pure single stocks momentum,
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, Option carry, Pure single stocks statistical m
JPM Macro, Quantitative & Derivatives Conference Summary - Key Takeaway, Investor Survey on Macro Outlook, AI Adop
Cross Asset Strategy - Market Regime Classification
Quantitative Perspectives on Cross-Asset Risk Premia -
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, Deviation from fundamental fair value revisit
Option risk profiles and dynamic strike selection - An update on defensive strategies
Quantitative Perspectives on Cross-Asset Risk Premia: Performance review, Rates time spread skew, Trend-following in s
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, Rates time spread skew, Trend-following in s
J.P.Morgan digest on risk premia strategies - Summary of Q1’24 research reports on systematic investing
Quantitative Perspectives on Cross-Asset Risk Premia -
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, Beyond the vol premium, Optimal skewness
EM FX Vol Carry Portfolios - Evaluating EM FX Vol Carry portfolios; a great addition to a cross-asset risk-premia portfolio
Quantitative Perspectives on Cross-Asset Risk Premia -
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, rates fair value and momentum, EUR swapti
Cross Asset Strategy Bi-Weekly - Dislocations and Positioning: Was January data a sign of things to come?
Quantitative Perspectives on Cross-Asset Risk Premia -
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, Catching the (third) moment, Options on RP
VIDEO: Catching the (third) moment: Harvesting the risk premia in left skewness -
J.P.Morgan digest on risk premia strategies - Summary of Q4’23 research reports on systematic investing
No of pages
32
54
0
56
13
10
0
63
14
12
85
0
53
9
0
53
26
18
10
0
54
21
57
19
91
0
61
44
20
0
54
11
0
63
72
0
60
20
0
55
20
0
57
0
74
Abstract
J.P. Morgan hosted its 33rd Macro Quantitative and Derivatives Conference on February 6th at our London office. The con
Performance Review We analyze the performance of risk-premia strategies in January. Dispersion in FX markets created a
The team review 2024 ARP performance, discuss QIS implementations of the 2025 JPM Research outlook and explore wh
2024 review – challenges for commodity strategies In 2024, the performance of standard Alternative Risk Premia (ARP) st
In previous publications, we have explored the optimization of an option portfolio subject to the constraints of a given style,
Given the themes of decoupling economic growth and rates trajectories across countries in the 2025 Global Outlook , we r
The team discuss the November cross-asset risk premia performance and the main topic of this month’s publication: Implic
Performance Review We analyze the performance of risk-premia strategies in November with the top performers being Ra
Starting with individual momentum, we extend the application of the delta-of-the-straddle momentum signal to the cross-as
Our stock vs bond risk premia model flags that risk premia are too tight, with scope for widening especially given the possi

The team discuss the October cross-asset risk premia performance and the main topics of this month’s publication: US ele
Performance Review We analyze the performance of risk-premia strategies in October. US Elections and Cross-Asset Ris
We previously discussed that SPX 0DTE options have historically been pricier on Mondays and cheaper on Thursdays. W
The team discuss the September cross-asset risk premia performance and the main topics of this month’s publication: Tail
Performance Review We analyze the performance of risk-premia strategies in September. Tail hedges with SPX options: c
We expand our Leaders and Followers framework to include a broader investment universe. We explore the interaction wit
Carry has been an investment theme in the FX market for several decades now, solidifying the latter’s status as a distinct a
A few months ago we introduced a technique to optimize the risk profile of an equity options portfolio, with the view to build
The team discuss the August cross-asset risk premia performance and the main topics of this month’s publication: Trend-F
Performance Review We analyze the performance of risk-premia strategies in August. Trend-following in cross-asset facto
A collection of pieces from the Systematic Cross-Asset Strategies team.
Performance Review We analyze the performance of risk-premia strategies in July and the impact of the recent turmoil on
A recent academic paper inspired us to explore the lead-lag relationships between assets, as well as the feasibility of this a

The team discuss the June cross-asset risk premia performance and the main topics of this month’s publication: Resilient o
Performance Review We analyze the performance of risk-premia strategies in June. Resilient option carry through dynami
Please support our team in the 2024 Institutional Investor ‘All-America Research Survey’ with 5 stars in the below categ
As we’ve ping-ponged between soft landing and high for long, it’s worth revisiting the topic of market regime classification,
Performance review, Deviation from fundamental fair value revisited, Single stocks TF in factors, 0DTE options and econo
Performance Review We analyze the performance of risk-premia strategies in May. Deviation from fundamental fair value
In our latest monthly , we introduced a method to chart an approximate risk profile for a delta-hedged option. Our insight w
The team discuss the April cross-asset risk premia performance and the main topics of this month’s publication: the applica
Performance Review We analyze the performance of risk-premia strategies in April. Skew strategy on rates time spreads P

Performance review, Beyond the vol premium, Optimal skewness strategy, Timing long-only low vol equity
Performance Review We analyze the performance of risk-premia strategies in January across different styles and asset cla
In this Note we evaluate the characteristics and performance of EM FX Vol Carry portfolios by looking at the liquidity, vol ri

Performance Review We analyze the performance of risk-premia strategies in January across different styles and asset cla
After strong US jobs, CPI, and more recently core PPI prints, should we expect a fast reversion in the numbers? Or was th
Performance review, Catching the (third) moment, Options on RP indices and latest model views
Performance Review We analyze the performance of risk-premia strategies in January across different styles and asset cla
We will be discussing our research note ‘Catching the (third) moment’, in which we present the cross-asset trading strategy
Link Tickers
https://www.jpmm.com/research/content/GPS-4908732-0
https://www.jpmm.com/research/content/GPS-4905253-0
https://www.jpmm.com/research/content/KAL-1-OL4T17J2
https://www.jpmm.com/research/content/GPS-4879255-0
https://www.jpmm.com/research/content/GPS-4866971-0
https://www.jpmm.com/research/content/GPS-4865936-0
https://www.jpmm.com/research/content/KAL-1-6PI782RJ
https://www.jpmm.com/research/content/GPS-4860563-0
https://www.jpmm.com/research/content/GPS-4859525-0
https://www.jpmm.com/research/content/GPS-4851300-0
https://www.jpmm.com/research/content/GPS-4820525-0
https://www.jpmm.com/research/content/KAL-1-LR86SCHD
https://www.jpmm.com/research/content/GPS-4814058-0
https://www.jpmm.com/research/content/GPS-4805057-0
https://www.jpmm.com/research/content/KAL-1-F60W23W2
https://www.jpmm.com/research/content/GPS-4815268-0
https://www.jpmm.com/research/content/GPS-4806089-0
https://www.jpmm.com/research/content/GPS-4667491-0
https://www.jpmm.com/research/content/GPS-4802227-0
https://www.jpmm.com/research/content/KAL-1-D6AHQD5X
https://www.jpmm.com/research/content/GPS-4792055-0
https://www.jpmm.com/research/content/GPS-4778509-0
https://www.jpmm.com/research/content/GPS-4768007-0
https://www.jpmm.com/research/content/GPS-4765125-0
https://www.jpmm.com/research/content/GPS-4746796-0
https://www.jpmm.com/research/content/KAL-1-VR4RR7AT
https://www.jpmm.com/research/content/GPS-4744498-0
https://www.jpmm.com/research/content/GPS-4729654-0
https://www.jpmm.com/research/content/GPS-4726883-0
https://www.jpmm.com/research/content/KAL-1-N0O9SWBL
https://www.jpmm.com/research/content/GPS-4719077-0
https://www.jpmm.com/research/content/GPS-4711531-0
https://www.jpmm.com/research/content/KAL-1-QMQSH9NZ
https://www.jpmm.com/research/content/GPS-4696589-0
https://www.jpmm.com/research/content/GPS-4666661-0
https://www.jpmm.com/research/content/KAL-1-ATGS2BWD
https://www.jpmm.com/research/content/GPS-4669493-0
https://www.jpmm.com/research/content/GPS-4600134-0
https://www.jpmm.com/research/content/KAL-1-L3KF6NE1
https://www.jpmm.com/research/content/GPS-4647923-0
https://www.jpmm.com/research/content/GPS-4630257-0
https://www.jpmm.com/research/content/KAL-1-9LY8LHVI
https://www.jpmm.com/research/content/GPS-4623288-0
https://www.jpmm.com/research/content/KAL-1-A19QSAON
https://www.jpmm.com/research/content/GPS-4597987-0
GPS-4611427-0 02/02/2024 15:04
GPS-4607477-0 31/01/2024 15:39 Dobromir Tzotchev, PhD
KAL-1-HWSGNVU8 12/01/2024 09:00 Dobromir Tzotchev, PhD
GPS-4597553-0 11/01/2024 16:24 Thomas Salopek
KAL-1-EB10D2GT 08/12/2023 17:30 Dobromir Tzotchev, PhD
GPS-4580645-0 08/12/2023 14:15
KAL-1-EOX6Y438 27/11/2023 23:00 Dobromir Tzotchev, PhD
KAL-1-UJ4OG9JC 10/11/2023 14:30 Dobromir Tzotchev, PhD
GPS-4559983-0 10/11/2023 13:50
KAL-1-GNFIYF5K 10/11/2023 12:15 Juan Duran-Vara
GPS-4544078-0 30/10/2023 18:38 Antonin T Delair
KAL-1-FJEHHP1B 24/10/2023 18:15 Dobromir Tzotchev, PhD
GPS-4533182-0 19/10/2023 09:47 Dobromir Tzotchev, PhD
KAL-1-7Z0TXB2L 16/10/2023 22:30 Dobromir Tzotchev, PhD
KAL-1-WCESCSEO 16/10/2023 21:45 Dobromir Tzotchev, PhD
GPS-4525896-0 10/10/2023 12:00 Thomas Salopek
KAL-1-0XM7UMDH 06/10/2023 13:00 Dobromir Tzotchev, PhD
GPS-4527762-0 06/10/2023 11:52
GPS-4517149-0 29/09/2023 17:10 Dobromir Tzotchev, PhD
KAL-1-QT0P6ZNO 07/09/2023 16:00 Dobromir Tzotchev, PhD
GPS-4508397-0 07/09/2023 14:13
GPS-4495925-0 24/08/2023 11:48 Dobromir Tzotchev, PhD
KAL-1-VCVMLT7I 07/08/2023 09:15 Dobromir Tzotchev, PhD
GPS-4480513-0 04/08/2023 13:57
GPS-4457251-0 02/08/2023 17:27 Antonin T Delair
GPS-4475920-0 31/07/2023 18:43
GPS-4446720-0 12/07/2023 11:30 Juan Duran-Vara
KAL-1-C0EP3AKI 12/07/2023 08:00 Dobromir Tzotchev, PhD
GPS-4457099-0 10/07/2023 14:54
GPS-4444582-0 05/07/2023 08:30
KAL-1-J5CM70TH 05/07/2023 08:30 Dobromir Tzotchev, PhD
GPS-4359748-0 15/06/2023 15:12 Thomas Salopek
KAL-1-EV4R144O 12/06/2023 09:30 Dobromir Tzotchev, PhD
GPS-4435578-0 09/06/2023 14:31
GPS-4424250-0 25/05/2023 16:54 Federico Manicardi - International Market Intelligence
GPS-4416194-0 16/05/2023 18:09 Saul Doctor
GPS-4408858-0 09/05/2023 16:03
KAL-1-EKY0XXNI 18/04/2023 13:30 Dobromir Tzotchev, PhD
GPS-4379281-0 05/04/2023 16:06
KAL-1-08OAGSYS 24/03/2023 14:30 Dobromir Tzotchev, PhD
GPS-4367995-0 23/03/2023 13:07 Thomas Salopek
GPS-4329340-0 22/03/2023 14:17 Thomas Salopek
KAL-1-WBDJSYQ5 14/03/2023 15:45 Erik Rubingh, CFA
GPS-4338222-0 10/03/2023 16:26
GPS-4337191-0 16/02/2023 15:51 Thomas Salopek
KAL-1-AKD6YK78 10/02/2023 09:45 Dobromir Tzotchev, PhD
GPS-4329242-0 08/02/2023 16:07
GPS-4325243-0 03/02/2023 14:28 Erik Rubingh, CFA
GPS-4313259-0 20/01/2023 17:32 Thomas Salopek
KAL-1-OVTNIBN2 13/01/2023 15:30 Dobromir Tzotchev, PhD
GPS-4306064-0 12/01/2023 15:17
KAL-1-AC11IS5H 15/12/2022 09:30 Dobromir Tzotchev, PhD
KAL-1-IVCSXNXZ 14/12/2022 11:00 Dobromir Tzotchev, PhD
GPS-4283970-0 09/12/2022 17:11
Catching the (third) moment - Harvesting the risk premia in left skewness
Cross Asset Bi-Weekly - Risk Premia by Pairs: Rally in both stocks and bonds keep us focused on safety and diversificatio
Quantitative Perspectives on Cross-Asset Risk Premia -
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review - 2023 in the rear view mirror and latest mode
Quantitative Perspectives on Cross-Asset Risk Premia: Performance review, JPM Research 2024 outlooks and XRP strate
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, JPM Research 2024 outlooks and XRP strat
Cross Asset Strategy: ‘Overnight trading signals and their use in QIS’ -
Quantitative Perspectives on Cross-Asset Risk Premia: Performance review, Synthetic Defensive Strategies, The Quest fo
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, opportunities in synthetic defensive baskets
VIDEO: Cross-asset sentiment indicators -
J.P.Morgan digest on risk premia strategies - Summary of Q3’23 research reports on systematic investing
Cross Asset Strategy: ‘Practitioners’ views on QIS investments’ -
Long-dated rates vol, a performance update - And a follow-up comment on 0DTE vol premium
Cross Asset Strategy: ‘Cross Asset Systematic Strategies’, with Dobromir Tzotchev, Head of Cross Asset Systematic Rese
Cross Asset Strategy: ‘Cross Asset Systematic Strategies’, with Dobromir Tzotchev, Head of Cross Asset Systematic Rese
Cross-Asset Sentiment Indicators - Tactical signals for boosting vol and delta-one trades
Quantitative Perspectives on Cross-Asset Risk Premia: Performance review, Rates Value, Intraday Realized vol -
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, Rates Value, Intraday Realized vol and lates
Cross Asset Strategy - Risk premia from pairs to portfolios
Quantitative Perspectives on Cross-Asset Risk Premia: Performance review, Quantifying the risk profile of an option butter
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, Quantifying the risk profile of an option butte
CTA Activity in Treasury Sell-Off - Positioning and market impact from high frequency data
Quantitative Perspectives on Cross-Asset Risk Premia -
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, Locking in rates vol carry, overnight signal s
J.P.Morgan digest on risk premia strategies - Summary of Q2’23 research reports on systematic investing
2023 London Macro Quantitative and Derivatives Conference - Summary of Conference Presentations and Investor Surve
When underhedging FX risk is optimal - Using the FX/Asset correlation as an input
Quantitative Perspectives on Cross-Asset Risk Premia -
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, payer swaptions as duration proxy, the signa
The Signal Gist of Overnight Trading - Profiting from the Information Content of Overnight and Daytime Equity Index Retur
The Signal Gist of Overnight Trading: Profiting from the Information Content of Overnight and Daytime Equity Index Future
Risk Premia Highlights - Sensitivities to equity and bonds tails, asymmetric trend-following ARP hedge and the best option
Quantitative Perspectives on Cross-Asset Risk Premia: Performance review, option strike selection, xrp scenario sensitivit
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, option strike selection, xrp scenario sensitivi
Pop Goes the Market - Log Periodic Power Law Singularity (LPPLS) Strategy for Financial Bubbles and Anti-Bubbles
J.P.Morgan digest on risk premia strategies - Summary of Q1'23 research reports on systematic investing
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, calculating a fair smile, skew as factor and la
Cross-Asset Risk Premia Tutorial: Using JPMaQS Macro Data in Quantitative Trading Strategies -
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, timing systematic long rates vol, fundamenta
Fundamental Rates Value Strategies -
FX Derivatives as an Asset Class - Macro drivers, effect of flows, recent market trends
Fundamental Rates Value Strategies - Harnessing macro-economic data to trade yield deviations from fair values
Quantitative Perspectives on Cross-Asset Risk Premia -
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, factor trend-following applications: pure equi
Risk Premia Highlights - The Value in Equity Value and a New (and Simpler) Formula for Swaptions Carry Calculation
Quantitative Perspectives on Cross-Asset Risk Premia: Performance review, Swaptions Carry Calculation and the Value i
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, Swaptions Carry Calculation, The Value in E
J.P.Morgan digest on risk premia strategies - Summary of Q4'22 research reports on systematic investing
Risk Premia Highlights - Lookback at 2022, risk premia strategies opportunities and prospects and commodity basis-mome
Quantitative Perspectives on Cross-Asset Risk Premia -
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, risk premia for fixed income enhancement
Commodity Basis-Momentum -
Quantitative Perspectives on Cross-Asset Risk Premia -
Quantitative Perspectives on Cross-Asset Risk Premia - Risk premia performance review, 2023 Outlook and risk premia, v
29
44
0
53
0
55
0
0
62
0
61
0
11
0
0
17
0
54
27
0
61
8
0
55
61
34
16
0
56
31
0
17
0
58
15
59
51
0
53
0
17
22
0
49
14
0
52
54
24
0
49
0
0
60
Moments of the distribution of asset returns play an important role in a wide array of applications in financial markets includ
Since our earlier version of surveying risk premia pairs, stocks and bonds rallied on the assumption of the faster path for d
Performance review - 2023 in the rear view mirror and latest model views
Risk premia strategies return in December ’23 We analyze the performance of risk-premia strategies in December across d
Today we have two main subjects to discuss: ‘Key takeaways from the JPM Research 2024 Outlooks for QIS investors’ an
Risk premia performance review We analyze the performance of risk-premia strategies in November across different s
We discuss the message from overnight trading signals and how the impact is manifested in specific timeframes. Professo
The team discuss three subjects today. We look in to the opportunities in synthetic defensive Baskets; revisit The Quest fo
Risk premia performance review We analyze the performance of risk-premia strategies in October across different sty
Tactical signals for boosting vol and delta-one trades

We are sharing practitioners’ views on QIS investments, with the external perspective of Paul Fraynt, PM at Franklin Temp
Long-dated swaption straddles have performed well since our last report. They benefitted from the surge in implied vol, bu
Faced with a backdrop of high for long rates, geopolitical risk, and inflection points at the end of the hiking cycle and possib
Faced with a backdrop of high for long rates, geopolitical risk, and inflection points at the end of the hiking cycle and possib
A tactical model for filtering short Gamma trades in FX has significantly outperformed its benchmark since being launched
The team discuss two subjects today. The first on is ‘A foray into intraday realized vol forecast’ and the second subject is a
Risk premia performance review We analyze the performance of risk-premia strategies in September across different
This paper looks at a simple risk premia strategy starting at the level of pairs and extended to portfolios. The underlying pr
This month the team discuss two subjects. The first subject is Quantifying the risk profile of an option butterfly. The second
Risk premia performance review We analyze the performance of risk-premia strategies in August across different style
In our previous report , we show that the CTA activity can be estimated from a market microstructure perspective. Based o
Performance review, Locking in rates vol carry, overnight signal strategy vs. intraday momentum
Risk premia performance review We analyze the performance of risk-premia strategies in July across different styles a

Our 28th Annual Macro Quantitative & Derivatives Conference (London, April 26) was attended by ~200 investors represe
We expand previous research on FX hedging, by investigating the role of FX hedge ratios on the performance measures th
Performance review, payer swaptions as duration proxy and the signal gist of overnight trading.
Risk premia performance review We analyze the performance of risk-premia strategies in June across different styles
In this note we investigate the informational content of the overnight and daytime equity index returns. By splitting the close
We investigate the informational content of part-day returns of equity index futures. By breaking daily returns down into ove
Risk premia performance review We analyze the performance of risk-premia strategies in May and YTD across different st
The Cross-Asset Risk Premia team review risk premia strategy performance for March, discuss different approaches to se
Risk premia performance review We analyze the performance of risk-premia strategies in May across different styles a

The current report is a part of periodic series that summarizes the publications of the J.P.Morgan research department tha
Risk premia performance review We analyze the performance of risk-premia strategies in April across different styles
The workshop showcased the applications of the J.P. Morgan Macrosynergy Quantamental System (JPMaQS): a premium
Risk premia performance review We analyze the performance of risk-premia strategies in March across different style
Harnessing macro-economic data to trade yield deviations from fair values
The FX market is defined by vast volumes and 24hr trading hours, compared to other asset classes. It is directly related to
Value strategies in Interest Rate space aim to exploit deviations of the market yields from some kind of fair value. Determin
Performance review, factor trend-following applications: cross-asset and pure equity factors
Risk premia performance review We analyze the performance of risk-premia strategies in February across different sty
Performance reviewWe summarize the performance of risk-premia strategies in January across different styles and asset c
The Cross-Asset Risk Premia team reviews risk premia strategy performance for January, presents a new (and simpler!) a
Performance reviewWe analyze the performance of risk-premia strategies in January across different styles and asset clas
The current report is part of a periodic series that summarises the publications of the J.P. Morgan research department tha
Lookback at 2022The risk premia portfolio performance stands out in a year when both equities and bonds suffered major

December performance reviewWe analyze the performance of risk premia strategies in December across different styles a
Another profitable variant of the momentum phenomenon
Risk premia performance review, JPM 2023 Outlook and implications for risk premia, higher rates & carry strategies and sy
Risk premia performance reviewWe analyze the performance of risk-premia strategies in November across different styles
https://www.jpmm.com/research/content/GPS-4611427-0
https://www.jpmm.com/research/content/GPS-4607477-0
https://www.jpmm.com/research/content/KAL-1-HWSGNVU8
https://www.jpmm.com/research/content/GPS-4597553-0
https://www.jpmm.com/research/content/KAL-1-EB10D2GT
https://www.jpmm.com/research/content/GPS-4580645-0
https://www.jpmm.com/research/content/KAL-1-EOX6Y438
https://www.jpmm.com/research/content/KAL-1-UJ4OG9JC
https://www.jpmm.com/research/content/GPS-4559983-0
https://www.jpmm.com/research/content/KAL-1-GNFIYF5K
https://www.jpmm.com/research/content/GPS-4544078-0
https://www.jpmm.com/research/content/KAL-1-FJEHHP1B
https://www.jpmm.com/research/content/GPS-4533182-0
https://www.jpmm.com/research/content/KAL-1-7Z0TXB2L
https://www.jpmm.com/research/content/KAL-1-WCESCSEO
https://www.jpmm.com/research/content/GPS-4525896-0
https://www.jpmm.com/research/content/KAL-1-0XM7UMDH
https://www.jpmm.com/research/content/GPS-4527762-0
https://www.jpmm.com/research/content/GPS-4517149-0
https://www.jpmm.com/research/content/KAL-1-QT0P6ZNO
https://www.jpmm.com/research/content/GPS-4508397-0
https://www.jpmm.com/research/content/GPS-4495925-0
https://www.jpmm.com/research/content/KAL-1-VCVMLT7I
https://www.jpmm.com/research/content/GPS-4480513-0
https://www.jpmm.com/research/content/GPS-4457251-0
https://www.jpmm.com/research/content/GPS-4475920-0
https://www.jpmm.com/research/content/GPS-4446720-0
https://www.jpmm.com/research/content/KAL-1-C0EP3AKI
https://www.jpmm.com/research/content/GPS-4457099-0
https://www.jpmm.com/research/content/GPS-4444582-0
https://www.jpmm.com/research/content/KAL-1-J5CM70TH
https://www.jpmm.com/research/content/GPS-4359748-0
https://www.jpmm.com/research/content/KAL-1-EV4R144O
https://www.jpmm.com/research/content/GPS-4435578-0
https://www.jpmm.com/research/content/GPS-4424250-0
https://www.jpmm.com/research/content/GPS-4416194-0
https://www.jpmm.com/research/content/GPS-4408858-0
https://www.jpmm.com/research/content/KAL-1-EKY0XXNI
https://www.jpmm.com/research/content/GPS-4379281-0
https://www.jpmm.com/research/content/KAL-1-08OAGSYS
https://www.jpmm.com/research/content/GPS-4367995-0
https://www.jpmm.com/research/content/GPS-4329340-0
https://www.jpmm.com/research/content/KAL-1-WBDJSYQ5
https://www.jpmm.com/research/content/GPS-4338222-0
https://www.jpmm.com/research/content/GPS-4337191-0
https://www.jpmm.com/research/content/KAL-1-AKD6YK78
https://www.jpmm.com/research/content/GPS-4329242-0
https://www.jpmm.com/research/content/GPS-4325243-0
https://www.jpmm.com/research/content/GPS-4313259-0
https://www.jpmm.com/research/content/KAL-1-OVTNIBN2
https://www.jpmm.com/research/content/GPS-4306064-0
https://www.jpmm.com/research/content/KAL-1-AC11IS5H
https://www.jpmm.com/research/content/KAL-1-IVCSXNXZ
https://www.jpmm.com/research/content/GPS-4283970-0
GPS-4277795-0 02/12/2022 13:20
GPS-4266930-0 18/11/2022 15:56 Thomas Salopek
KAL-1-68PUYAP6 15/11/2022 17:15 Dobromir Tzotchev, PhD
GPS-4259984-0 10/11/2022 19:37
GPS-4259949-0 10/11/2022 16:49 Bram Kaplan, CFA
GPS-4253856-0 04/11/2022 12:50 Erik Rubingh, CFA
GPS-4232022-0 14/10/2022 15:01 Thomas Salopek
KAL-1-IPSV472C 13/10/2022 07:45 Dobromir Tzotchev, PhD
GPS-4227309-0 10/10/2022 13:29
GPS-4222467-0 04/10/2022 16:05 Dobromir Tzotchev, PhD
KAL-1-XFLF0EJ6 22/09/2022 12:00 Dobromir Tzotchev, PhD
GPS-4202048-0 09/09/2022 08:00
GPS-4193896-0 06/09/2022 11:00 Juan Duran-Vara
GPS-4178223-0 12/08/2022 11:45 Thomas Salopek
KAL-1-W26G2HAJ 11/08/2022 16:45 Dobromir Tzotchev, PhD
GPS-4173995-0 09/08/2022 14:48
GPS-4172525-0 08/08/2022 15:31 Olivier Daviaud, PhD, CFA
KAL-1-II24H73B 13/07/2022 15:30 Dobromir Tzotchev, PhD
GPS-4140868-0 08/07/2022 13:06
GPS-4118233-0 10/06/2022 14:00
GPS-4095280-0 16/05/2022 15:35 Erik Rubingh, CFA
GPS-4091521-0 12/05/2022 12:35
GPS-4058213-0 11/04/2022 16:05
GPS-4040836-0 23/03/2022 12:25 Dobromir Tzotchev, PhD
GPS-4039096-0 22/03/2022 10:15
GPS-4030290-0 11/03/2022 13:59
GPS-4017883-0 28/02/2022 16:01 Dobromir Tzotchev, PhD
CFP-PC-6794-0 28/02/2022 15:48 Dobromir Tzotchev, PhD
GPS-4000534-0 11/02/2022 10:32
GPS-3999132-0 10/02/2022 16:30 Ladislav Jankovic
GPS-3978794-0 21/01/2022 12:56
GPS-3976055-0 19/01/2022 14:37 Dobromir Tzotchev, PhD
GPS-3953087-0 16/12/2021 13:40 Tony SK Lee
GPS-3920807-0 12/11/2021 11:06 Tony SK Lee
GPS-3894040-0 22/10/2021 06:43
GPS-3886058-0 13/10/2021 11:40 Tony SK Lee
GPS-3885132-0 12/10/2021 15:04 Twinkle Mehta, CFA
GPS-3846174-0 26/08/2021 13:28
GPS-3841229-0 20/08/2021 16:35 Thomas Salopek
GPS-3834649-0 13/08/2021 12:35 Tony SK Lee
GPS-3833356-0 12/08/2021 13:45 Twinkle Mehta, CFA
GPS-3806116-0 20/07/2021 12:01 Tony SK Lee
GPS-3770916-0 10/06/2021 12:37 Tony SK Lee
GPS-3741979-0 12/05/2021 10:06 Tony SK Lee
GPS-3737396-0 07/05/2021 16:34
GPS-3731737-0 05/05/2021 12:20
CFP-PC-5524-0 05/05/2021 10:46 Dobromir Tzotchev, PhD
GPS-3731265-0 04/05/2021 11:08
GPS-3712864-0 19/04/2021 13:20
GPS-3709172-0 15/04/2021 07:21 Tony SK Lee
GPS-3691273-0 30/03/2021 07:59
GPS-3674757-0 10/03/2021 13:33 Tony SK Lee
GPS-3648805-0 17/02/2021 12:45 Arindam Sandilya
GPS-3641416-0 09/02/2021 11:56 Tony SK Lee
Basis Momentum - Another profitable variant of the momentum phenomenon
Risk Premia Highlights - Systematic rates volatility in 2022 and rates carry prospects
Quantitative Perspectives on Cross-Asset Risk Premia -
Quantitative Perspectives on Cross-Asset Risk Premia - Risk premia performance review, Systematic Rates Vol in 2022, p
How close to realised should implied vol trade? - Revisiting P&L attribution for vanilla SPX options
J.P. Morgan digest on risk premia strategies - Summary of Q3'22 research reports on systematic investing
Risk Premia Highlights - Rates Value strategies and introducing the thematic publications on applied portfolio construction
Quantitative Perspectives on Cross-Asset Risk Premia -
Quantitative Perspectives on Cross-Asset Risk Premia - Risk premia performance review, profiting from the reversal in term
Cross Asset Strategy - Applied Portfolio Construction Research: Can you time your optimization technique?
Options Skew Risk Premium: How to measure and harvest it -
Quantitative Perspectives on Cross-Asset Risk Premia - Risk premia performance review and exploring value strategies in
Options Skew Risk Premium - How to measure and harvest it
Risk Premia Highlights - Update on the performance of the Variation in Hedging Pressure strategy (VHP) and the trend-fol
Quantitative Perspectives on Cross-Asset Risk Premia: Risk premia performance review, update on Variation in Hedging P
Quantitative Perspectives on Cross-Asset Risk Premia - Risk premia performance review, update on Variation in Hedging
J.P. Morgan digest on risk premia strategies - Summary of Q2'22 research reports on systematic investing
Cross-asset risk premia themes: trend-following revival and short vol strategies in 2022 -
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review, trend-following revival, analysis of vol selling
Quantitative Perspectives on Cross-Asset Risk Premia - Analyzing YTD performance of delta-hedged puts and incorporatin
J.P.Morgan digest on risk premia strategies - Summary of Q1'22 research reports on systematic investing
Quantitative Perspectives on Cross-Asset Risk Premia - Risk premia performance review, impact of rates and inflation on e
Quantitative Perspectives on Cross-Asset Risk Premia - Update on pure defensive equity factors and defensive risk premia
Profiting from Positioning Dynamics in Commodity Futures - Hedgers vs. Speculators
What Drives Alpha in Intraday Momentum? - A Case Study in HYG
Quantitative Perspectives on Cross-Asset Risk Premia - Risk premia performance review, trend-following strategies for infl
Podcast: Impact of Crowding on Intraday Momentum - A Market Structure Analysis
Impact of Crowding on Intraday Momentum -
Quantitative Perspectives on Cross-Asset Risk Premia - Performance review and tailored systematic strategies for rates-u
J.P. Morgan digest on risk premia strategies - Summary of Q4'21 research reports on systematic investing
Cross Asset Risk Premia Daily Monitor - 21 Jan 2022
Cross Asset Strategy - Rising rates and the 60/40
Quantitative Perspectives on Cross-Asset Risk Premia - Risk premia performance review, carry strategies potential in diffe
J.P. Morgan digest on risk premia strategies - Summary of Q3'21 research reports on systematic investing
Big Data & AI Strategies - SmartBuzz for Trading Thematics in Earnings Call Transcripts and the News
Quantitative Perspectives on Cross-Asset Risk Premia - Risk premia performance review, oil replication systematic strateg
Cross Asset Risk Premia Daily Monitor - 12 Oct 2021
Cross Asset Volatility - Option skew implied risk parity performance update
J.P.Morgan digest on risk premia strategies - Summary of Q2'21 research reports on systematic investing
Quantitative Perspectives on Cross-Asset Risk Premia - Risk premia performance review, update on defensive risk premia
Cross Asset Risk Premia Daily Monitor - 12 Aug 2021
Quantitative Perspectives on Cross-Asset Risk Premia - Risk premia performance review, trend-following in factors and lat
Quantitative Perspectives on Cross-Asset Risk Premia - Disentangling momentum and carry in commodities, structural bre
Quantitative Perspectives on Cross-Asset Risk Premia - Enhancing active ETF performance, cluster portfolio and tail risk p
J.P. Morgan digest on risk premia strategies - Summary of Q1'21 research reports on systematic investing
Podcast: Cross Asset Volatility - Option implied bond/equity correlation and its applications
High frequency forecasts for bond/equity correlation -
Cross Asset Risk Premia - Latest views and research highlights (Apr 2021)
Cross Asset Volatility - What can option implied skew tell us about bond equity correlation?
Quantitative Perspectives on Cross-Asset Risk Premia - Quarterly review, Credit value, Synthetic defensive long vol and la
Cross Asset Risk Premia - Latest views and research highlights (Mar 2021)
Quantitative Perspectives on Cross-Asset Risk Premia - Pure ESG factors, new research on risk premia and latest model v
Trading vol-of-vol risk premium - Harvesting smile convexity across asset classes
Quantitative Perspectives on Cross-Asset Risk Premia - Hedging rising inflation, trend-following system review, Bitcoin tren
43
13
0
54
36
33
13
0
49
28
0
24
35
10
0
46
32
0
47
48
39
44
49
27
7
45
5
0
16
33
20
13
45
30
26
46
20
8
40
51
20
46
47
43
17
5
0
6
11
51
17
47
58
46
Momentum strategies are among the best-known systematic investment strategies. Implemented in either time-series or cr
Improved risk sentiment in October helped the laggards in the risk premia spaceExpectations of a ‘Fed Pivot’ supported so

Risk premia performance reviewWe analyze the performance of risk-premia strategies in October across different styles an
It is commonly accepted that the P&L of a delta hedged option primarily depends on the volatility premium, i.e., the differen
The current report is a part of periodic series that summarizes the publications of the J.P.Morgan research department tha
Bearish September mood and consistent trend-following performance The risk-off sentiment in September brought familiar

Risk premia performance reviewWe analyze the performance of risk-premia strategies in September across different styles
This inaugural report introduces a new series of publications focused on Applied Portfolio Construction Research. In the fir
Lorenzo Ravagli and Dobromir Tzotchev discuss the main highlights and innovation aspects from the latest options report.
Risk premia performance reviewWe analyze the performance of risk-premia strategies in August across different styles an
This reports focuses on the possibility of isolating and trading risk premia associated with cross-asset options markets smi
Change in fortunes in risk premia landThe weaker macro-economic outlook in July led to the former laggards so far in the r
Dobromir Tzotchev and Erik Rubingh discuss performance of Risk Premia, update on the Variation in Hedging Pressure S
Risk premia performance reviewWe analyze the performance of risk-premia strategies in July across different styles and a
The current report is part of our periodic series that summarizes the publications of the J.P. Morgan research department t
The systematic cross-asset strategies team discusses the themes from the latest monthly publication Quantitative Perspec
Risk premia performance reviewWe analyze the performance of risk-premia strategies in June across different styles and a
Risk premia performance reviewWe analyze the performance of risk-premia strategies in May across different styles and a
The current report is a part of periodic series that summarizes the publications of the J.P.Morgan research department tha
We analyze the performance of risk-premia strategies in April across different styles and asset classes.Typically, Equity Fa
Risk premia performance reviewWe analyze the performance of risk-premia strategies in March across different styles and
A Systematic Commodity Strategy Using Positioning Data Using data on futures positioning collected by the Commodity F
* In a previous report, we investigated the recent underperformance of intraday momentum strategy in the S&P 500 index
Risk premia performance reviewWe analyze the performance of risk-premia strategies in February across different styles a
*...

Risk premia performance reviewWe analyze the performance of risk premia strategies in January across different styles an
The current report is a part of periodic series that summarizes the publications of the J.P.Morgan research department tha
This daily report shows recent performance for five popular investment styles (traditional beta, value, momentum, carry an
The market’s biggest worries seems to now be revolving around the Fed and the implications of rising rates. In our view, th
Risk premia performance reviewWe analyze the performance of risk premia strategies in November and YTD across differ
Executive summaryThe current report is a part of periodic series that summarizes the publications of the J.P. Morgan rese
Extending our prior work on NLP Sentiment Scores with our thematic identification framework SmartBuzz, we develop trad
Risk premia performance reviewWe analyze risk premia strategies performance in September and YTD across different st
This daily report shows recent performance for five popular investment styles (traditional beta, value, momentum, carry an
* In a recent report, we discussed how to obtain implied correlation and beta between US equities and Treasuries using lis
The current report is a part of periodic series that summarizes the publications of the J.P.Morgan research department tha
Recent risk premia performanceWe analyze the performance of risk premia strategies in July and YTD across different sty
This daily report shows recent performance for five popular investment styles (traditional beta, value, momentum, carry an
Risk premia performance reviewWe analyze the performance of risk premia strategies in June and H1 across different styl
Disentangling the cross-sectional momentum and carry effects in commodities risk premiaThe concept of pure risk factors
Risk factors can complement active portfolios……to improve their risk-adjusted performances. We use a proxy Tech theme
This report is the inaugural note of a series of digests that will be summarizing the publications of the J.P.Morgan research
* Why is there a need...

The assumption of a low or equity bond/equity correlation forms an important foundation for popular asset allocation strate
Risk premia performance over Q1 2021As volatilities keep grinding down, short vol (esp. in credit, equity and FX) is among

ESG investing is gaining momentum……but a typical ESG strategy is substantially correlated with long momentum/techno
This publication focuses on the possibility of identifying and monetising a premium from the convexity of volatility smiles, a
Ideas to hedge for inflation riskCross-asset investors have been wary of the rising rates and inflation expectations. Equity-f
https://www.jpmm.com/research/content/GPS-4277795-0
https://www.jpmm.com/research/content/GPS-4266930-0
https://www.jpmm.com/research/content/KAL-1-68PUYAP6
https://www.jpmm.com/research/content/GPS-4259984-0
https://www.jpmm.com/research/content/GPS-4259949-0
https://www.jpmm.com/research/content/GPS-4253856-0
https://www.jpmm.com/research/content/GPS-4232022-0
https://www.jpmm.com/research/content/KAL-1-IPSV472C
https://www.jpmm.com/research/content/GPS-4227309-0
https://www.jpmm.com/research/content/GPS-4222467-0
https://www.jpmm.com/research/content/KAL-1-XFLF0EJ6
https://www.jpmm.com/research/content/GPS-4202048-0
https://www.jpmm.com/research/content/GPS-4193896-0
https://www.jpmm.com/research/content/GPS-4178223-0
https://www.jpmm.com/research/content/KAL-1-W26G2HAJ
https://www.jpmm.com/research/content/GPS-4173995-0
https://www.jpmm.com/research/content/GPS-4172525-0
https://www.jpmm.com/research/content/KAL-1-II24H73B
https://www.jpmm.com/research/content/GPS-4140868-0
https://www.jpmm.com/research/content/GPS-4118233-0
https://www.jpmm.com/research/content/GPS-4095280-0
https://www.jpmm.com/research/content/GPS-4091521-0
https://www.jpmm.com/research/content/GPS-4058213-0
https://www.jpmm.com/research/content/GPS-4040836-0
https://www.jpmm.com/research/content/GPS-4039096-0
https://www.jpmm.com/research/content/GPS-4030290-0
https://www.jpmm.com/research/content/GPS-4017883-0
https://www.jpmm.com/research/content/CFP-PC-6794-0
https://www.jpmm.com/research/content/GPS-4000534-0
https://www.jpmm.com/research/content/GPS-3999132-0
https://www.jpmm.com/research/content/GPS-3978794-0
https://www.jpmm.com/research/content/GPS-3976055-0
https://www.jpmm.com/research/content/GPS-3953087-0
https://www.jpmm.com/research/content/GPS-3920807-0
https://www.jpmm.com/research/content/GPS-3894040-0
https://www.jpmm.com/research/content/GPS-3886058-0
https://www.jpmm.com/research/content/GPS-3885132-0
https://www.jpmm.com/research/content/GPS-3846174-0
https://www.jpmm.com/research/content/GPS-3841229-0
https://www.jpmm.com/research/content/GPS-3834649-0
https://www.jpmm.com/research/content/GPS-3833356-0
https://www.jpmm.com/research/content/GPS-3806116-0
https://www.jpmm.com/research/content/GPS-3770916-0
https://www.jpmm.com/research/content/GPS-3741979-0
https://www.jpmm.com/research/content/GPS-3737396-0
https://www.jpmm.com/research/content/GPS-3731737-0
https://www.jpmm.com/research/content/CFP-PC-5524-0
https://www.jpmm.com/research/content/GPS-3731265-0
https://www.jpmm.com/research/content/GPS-3712864-0
https://www.jpmm.com/research/content/GPS-3709172-0
https://www.jpmm.com/research/content/GPS-3691273-0
https://www.jpmm.com/research/content/GPS-3674757-0
https://www.jpmm.com/research/content/GPS-3648805-0
https://www.jpmm.com/research/content/GPS-3641416-0
GPS-3635850-0 04/02/2021 08:43 Tony SK Lee
GPS-3626916-0 28/01/2021 09:44
GPS-3611086-0 13/01/2021 09:26 Tony SK Lee
GPS-3608224-0 11/01/2021 10:33 Dobromir Tzotchev, PhD
GPS-3587421-0 11/12/2020 11:05 Tony SK Lee
GPS-3557560-0 12/11/2020 08:28 Tony SK Lee
GPS-3524328-0 16/10/2020 07:44 Tony SK Lee
GPS-3497265-0 17/09/2020 09:34 Tony SK Lee
GPS-3461295-0 11/08/2020 10:40 Tony SK Lee
CFP-PC-4375-0 15/07/2020 16:24 Dobromir Tzotchev, PhD
GPS-3424741-0 10/07/2020 07:35 Tony SK Lee
CFP-PC-4304-0 16/06/2020 15:31 Dobromir Tzotchev, PhD
GPS-3395651-0 09/06/2020 09:32 Tony SK Lee
CFP-PC-4163-0 19/05/2020 14:04
GPS-3366570-0 12/05/2020 05:56 Tony SK Lee
GPS-3328431-0 09/04/2020 06:26 Tony SK Lee
GPS-3295004-0 11/03/2020 09:00
GPS-3289532-0 05/03/2020 10:46 Tony SK Lee
GPS-3268774-0 18/02/2020 08:55 Dobromir Tzotchev, PhD
GPS-3263225-0 12/02/2020 13:00 Juan Duran-Vara
GPS-3236289-0 17/01/2020 08:28 Tony SK Lee
GPS-3201444-0 03/12/2019 09:32 Dubravko Lakos-Bujas
GPS-3197486-0 28/11/2019 14:11 Robert Smith, PhD
GPS-3130379-0 24/09/2019 12:30 Dobromir Tzotchev, PhD
GPS-3025457-0 05/06/2019 11:02 Meera Chandan
GPS-3008843-0 16/05/2019 18:19
GPS-2974637-0 17/04/2019 09:42 Tony SK Lee
GPS-2935744-0 06/03/2019 06:40 Tony SK Lee
GPS-2854258-0 06/12/2018 11:07
GPS-2835800-0 15/11/2018 13:00 Davide Silvestrini
GPS-2790721-0 04/10/2018 15:16
GPS-2789283-0 03/10/2018 06:32 Michael Harrison
GPS-2663063-0 14/05/2018 04:36
GPS-2608297-0 16/03/2018 07:18 Dobromir Tzotchev, PhD
GPS-2570400-0 06/02/2018 10:56 Davide Silvestrini
GPS-2562885-0 30/01/2018 16:29 Dobromir Tzotchev, PhD
Risk Premia Investing in the Age of Machines - Investable Strategies with Machine Learning Asset Pricing Models for Glob
Risk Premia Portfolio Construction via Uncorrelated Clusters - Introducing Autoencoders as an extension of Principal Com
Quantitative Perspectives on Cross-Asset Risk Premia - Reviewing 2020 performance, a note on January effect and latest
Cross Asset Risk Premia Podcasts - 11 Jan 2021
Quantitative Perspectives on Cross-Asset Risk Premia - Factor risk parity carry, summary of topics discussed in 2020, and
Quantitative Perspectives on Cross-Asset Risk Premia - Value's exposures to yield curve; Mimicking portfolios to rates and
Quantitative Perspectives on Cross-Asset Risk Premia - Synthetic defensive FX baskets, defensive risk premia versus safe
Quantitative Perspectives on Cross-Asset Risk Premia - Defensive risk premia performance update and latest model views
Quantitative Perspectives on Cross-Asset Risk Premia - Value/Momentum rotation broadly supported by macro backdrop,
PODCAST: Quantitative Perspectives on Cross-Asset Risk Premia - Equity value factors review, Defensive overlay on Sho
Quantitative Perspectives on Cross-Asset Risk Premia - Equity value factors review, Defensive overlay on Short-vol strate
Podcast: Quantitative Perspectives on Cross-Asset Risk Premia - Dissecting Low Vol's exposures, Building Balanced Clus
Quantitative Perspectives on Cross-Asset Risk Premia - Dissecting Low Vol's exposures, building Balanced Cluster Portfo
Quantitative Perspectives on Cross-Asset Risk Premia - Higher Moments 'Aware' Portfolio Construction Techniques and U
Quantitative Perspectives on Cross-Asset Risk Premia - Higher Moments 'Aware' Portfolio Construction Techniques and U
Quantitative Perspectives on Cross-Asset Risk Premia - Update on Defensive Strategies, COVID vs GFC, Monitoring Rece
Defensive Risk Premia - Systematic Strategies for the Risk-Off Times
Quantitative Perspectives on Cross-Asset Risk Premia - Impacts from market shocks, growth revisions and falling rates, an
News Sentiment on Coronavirus - Gauging economic growth and overlaying investment theses with alternative news data
Pair trading with FX vols - Should vol mean-reversion be your friend?
Quantitative Perspectives on Cross-Asset Risk Premia - Reviewing 2019 Performance, Raw vs Pure Equity Factors and La
Custom Performance Attribution based on Portfolio Holdings - Decomposing Risk and Return Drivers via Factor-Mimicking
The quest for pure equity factor exposure - How to eliminate the unwanted biases in equity factors?
Deep Learning Robot Trader 1.0 - Applying Recurrent Neural Networks to Predict Optimal Portfolio Allocations
Quantitative Perspectives on Cross-Asset Risk Premia - Implications from Macro Outlook, Timing Equity Styles with Crowd
Pick your best FX hedges - A scorecard approach for selecting FX hedging instruments
Quantitative Perspectives on Cross-Asset Risk Premia - Yield Curve Regimes, Performance Attributions for Pure ERPs an
Quantitative Perspectives on Cross-Asset Risk Premia - Macro-Economic Backdrop, Liquidity in Equity Styles and Tail Ris
Quantitative Perspectives on Cross Asset Risk Premia - Risk premia sensitivity to rates/equities, implications of JPM 2019
Optimal option delta-hedging - Uncovering the link between mean-reversion and options strategies across markets
Market-neutral carry strategies - Harvesting carry without market risk
A Quantitative Framework for Cross Asset Style Timing - Machine Learning, Macro and Time-Series models providing view
Latest Thoughts in Big Data and Machine Learning - ...and what are the major concerns of systematic risk premia investor
How Did Our Systematic Tradable Strategies Perform? - Reviewing Risk Premia Trades with Some New Ideas
Designing robust trend-following system - Behind the scenes of trend-following
Harvesting Volatility Risk Premia With Machine Learning - Volatility Spread Strategy Using Dynamic Linear Model
38
14
50
20
49
48
51
49
42
0
50
0
49
0
49
55
66
52
33
19
46
60
44
35
53
15
55
53
59
48
60
63
15
22
48
49
Next generation of factor investing We develop a machine learning factor model to explain asset returns via exposures to s
Autoencoders as a Machine Learning tool for clusteringLast year, we introduced a new methodology to construct cluster ri
A review of risk premia in 2020We summarize the performance of risk premia across 2020. Rates and Commodity risk pre
This daily report shows recent performance for five popular investment styles (traditional beta, value, momentum, carry an
Factor risk parity carryWe introduce a variation of the market-neutral carry approach where we allow exposure (in a contro
Equity portfolios that mimick rates and the slope of yield curveIt is useful to construct equity portfolios that track macro-eco
Introducing the synthetic defensive baskets in JPY and CHFWe build upon the notion of synthetic defensive baskets and a
Defensive risk premia performance in the wake of the strong market reboundWe update the performance of the defensive
Cross asset risk premia performanceThe majority of risk premia posted positive returns in July amidst strong market perfor
The latest risk premia performance. The use of defensive strategies to mitigate drawdowns in cross-asset short-vol portfol
Reviewing performance of various equity value factorsWe run a short analysis on a few equity value factors and review the
- How to use Autoencoders to construct uncorrelated cluster portfolios to achieve better...
Risk premia performance amid sharp market reboundShort vol strategies have played well in May as risky assets rebound
The latest risk-premia performance. Market-neutral carry strategies and whether they have lived up to the promise. Portfoli
We revisit the Tail-Risk Parity approach and extend the CRRA portfolio optimization approach to construct risk premia port
Defensive strategy performances amidst recent market routWe update the performance of the defensive risk premia strate
In the current paper, we focus on risk-premia strategies that are expected to deliver performance when major asset classe
COVID-19 inducing market shocks. How much rebound do we expect? The global spread of COVID-19 triggered a massiv
Novel Coronavirus occupying global headline newsWith the novel Coronavirus outbreak occupying global headline news s
With the ultra-depressed FX volatility levels creating more than one headache to both outright vol buyers and sellers, mark
How have risk premia strategies performed in 2019?2019 turned out to be another challenging year for alternative risk pre
What factors are driving my portfolio?As we approach year end, it is time to run a diagnosis on our portfolios and examine
In the Equity Risk Premia Strategies primer by Kolanovic (2014) various factor neutralization methods were discussed – be
Hi Siri, how much should I trade? We train deep neural networks to directly predict optimal portfolio allocations, with an obj
J. P. Morgan’s latest macro-economic forecasts: What are the potential implications for cross asset risk premia?Since our
The value of using FX options for hedging multi-asset portfolios and as part of corporate hedging programmes has been e
Risk premia performance reviewWe review the Q1 performance across risk premia strategies as well as our risk parity port
Given the recent shift in the macro-economic backdrop, we discuss the potential impact on the risk premia performance. F
We resume our periodic publication that has focused on risk-premia performance and investing. We intend to discuss ad-h
In this report we investigate the connection between mean-reversion and volatility trading for plain vanilla options. We find
Carry strategies have become one of the main pillars of risk-premia investing. As pointed out by Kolanovic (2013) in ‘Syste
Introducing a Quantitative Framework for Tactical AllocationWe propose a framework for style timing in cross-asset risk pre
RavenPack’s Big Data and Machine Learning conferenceOver 270 investment professionals attended the RavenPack’s co
Three systematic strategies with a flavor of mean-reversionWe analyze the recent performance of three systematic risk pre
Trend-following has actively been on investors’ radar for the last few decades. The J.P. Morgan primer on momentum stra
Volatility spread: A hedge for equitiesVolatility spread strategies deliver mostly positive returns when equity markets suffer
https://www.jpmm.com/research/content/GPS-3635850-0
https://www.jpmm.com/research/content/GPS-3626916-0
https://www.jpmm.com/research/content/GPS-3611086-0
https://www.jpmm.com/research/content/GPS-3608224-0
https://www.jpmm.com/research/content/GPS-3587421-0
https://www.jpmm.com/research/content/GPS-3557560-0
https://www.jpmm.com/research/content/GPS-3524328-0
https://www.jpmm.com/research/content/GPS-3497265-0
https://www.jpmm.com/research/content/GPS-3461295-0
https://www.jpmm.com/research/content/CFP-PC-4375-0
https://www.jpmm.com/research/content/GPS-3424741-0
https://www.jpmm.com/research/content/CFP-PC-4304-0
https://www.jpmm.com/research/content/GPS-3395651-0
https://www.jpmm.com/research/content/CFP-PC-4163-0
https://www.jpmm.com/research/content/GPS-3366570-0
https://www.jpmm.com/research/content/GPS-3328431-0
https://www.jpmm.com/research/content/GPS-3295004-0
https://www.jpmm.com/research/content/GPS-3289532-0
https://www.jpmm.com/research/content/GPS-3268774-0
https://www.jpmm.com/research/content/GPS-3263225-0
https://www.jpmm.com/research/content/GPS-3236289-0
https://www.jpmm.com/research/content/GPS-3201444-0
https://www.jpmm.com/research/content/GPS-3197486-0
https://www.jpmm.com/research/content/GPS-3130379-0
https://www.jpmm.com/research/content/GPS-3025457-0
https://www.jpmm.com/research/content/GPS-3008843-0
https://www.jpmm.com/research/content/GPS-2974637-0
https://www.jpmm.com/research/content/GPS-2935744-0
https://www.jpmm.com/research/content/GPS-2854258-0
https://www.jpmm.com/research/content/GPS-2835800-0
https://www.jpmm.com/research/content/GPS-2790721-0
https://www.jpmm.com/research/content/GPS-2789283-0
https://www.jpmm.com/research/content/GPS-2663063-0
https://www.jpmm.com/research/content/GPS-2608297-0
https://www.jpmm.com/research/content/GPS-2570400-0
https://www.jpmm.com/research/content/GPS-2562885-0