Quantitative Perspectives on Cross-Asset Risk Premia: Crowding as a timing signal for the cross-asset trend, Revisiting oil replication, Tracking macroeconomic variables using stocks (part 2)

The research strategies had a particularly strong month (up about 5%, on 10% targeted volatility) building on a very strong year (YTD Sharpe above 2.5), with strength broad based. September was a mixed month for the standard risk premia strategies: Equity Volatility (Sharpe 1.77) and Rates Carry led, while Commodity Value was weakest (Sharpe -2.44). Year-to-date, FX Carry remains the standout (Sharpe 3.49), momentum in commodities, rates and equity contributes strongly, equity quality continues to lag, and credit momentum is the biggest laggard (Sharpe -2.18). The report uses crowding measures for trend-following, combined with the FOMO indicator, as a timing signal to gear the trend portfolio up or down;