Economic background

The design of many risk premia strategies seem to be flawed at a closer look as the strategies are optimized with respect to the financial crisis (filter / stop loss etc.).

Risk premia strategies developed by Alpha Centauri are foremost defined by their economical rational.

Purity of premia strategy

As these strategies are not trading strategies, performance does not take center stage. Therefore individual risk premia may deliver “return-free risk” for years.

However the „purity requirement“ does not allow for performance optimizers - a stock in the stock market is not listed with stop loss either.

Risk characteristics

The specific characteristics of asset classes are often not being taken into account sufficiently in designing risk premia strategies. The result is an absorption of other systematic risk factors beyond the target factor premia.

Strategies from Alpha Centauri consider the specifics of asset classes across risk characteristics.

Rebalancing

The rebalancing frequency of risk premia strategies is too low in numerous offers. As information in capital markets is being processed at a higher speed as in the past, long-term backtests are not representative any more.

The frequency should essentially be defined by the asymmetric character und the transaction costs.

Transparency

In comparison to offers in the marketplace we offer more transparency for every single premia strategy by providing monthly updated

• Factsheets
• up-to-date risk snapshots
• historic risk analysis
• scenario analysis

Availability

At the moment Alpha Centauri risk premia are available for government bonds (interest rate and CDS), corporate bonds (CDS) and stock indices, in well-known categories like value, carry, quality, momentum, volatility and in part thematic premia.