Risk premia investing is the most recent milestone in the evolution of investment management. Extensive academic research confirmed that a significant portion of the returns attributed to manager skill could in fact be explained as renumeration for passive assumption of specific market risks. 

Sophisticated market players began developing systematic strategies to harvest the returns expected from exposures to these market risk factors; more recently, on specific alternative risk factors across multiple asset classes. Alternative Risk Premia (ARP) strategies are the culmination of these developments.

LumRisk provides its clients with the whole spectrum of services facilitating their allocation of Alternative Risk Premia.

Risk

• Position based; all asset classes and providers
• Modelling of complex non-linear profiles
• Stress tests and scenarios with 250+ metrics

Performance

• Daily performance updates
• Performance contribution analysis
• What-if portfolio scenarios

Research

• Database of 2000+ risk premia; 15+ providers
• Peer Group analysis; consistent classification
• Factor analysis and tactical allocation tools

Reports

• Interactive tools and fixed reports
• Regulatory reporting
• Monitoring of compliance guidelines

Data management

• Automated collection and update of positions
• Direct access to the primary data providers
• Cleaning and harmonization of data