Amundi Asset Management

2017 Top 400 Ranking: 11

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Keep Up The Momentum

The momentum risk premium is one of the most important alternative risk premia alongside the carry risk premium. However, it appears that it is not always well understood. 

For example, is it an alpha or a beta exposure? Is it a skewness risk premium or a market anomaly? Does it pursue a performance objective or a hedging objective? What are the differences between time-series and crosssection momentum? What are the main drivers of momentum returns? What does it mean when we say that it is a convex and not a concave strategy? Why is the momentum risk premium a diversifying engine, and not an absolute return strategy?

The goal of this paper is to provide specific and relevant answers to all these questions. The answers can already be found in the technical paper “Understanding the Momentum Risk Premium” published recently by Amundi’s Quantitative Research Team. However, the underlying mathematics can be daunting to readers. Therefore, this discussion paper presents the key messages and the associated financial insights behind these results.

Click to read the complete white paper on the site

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  • emerging markets how to unlock the next wave of returns

    Emerging Markets: How to unlock the next wave of returns

    White papersMon, 12 Feb 2018

    After years of buoyant market conditions that have driven strong market performance across the board, investors are questioning for how long this “Goldilocks” regime can last and which investment areas will continue to offer opportunities in the near future.

  • cross asset investment strategy february 2018

    Cross Asset Investment Strategy: February 2018

    White papersFri, 9 Feb 2018

    The recent sharp correction of equity markets and the increase in yields which have materialized since the start of the year have created a turbulent phase, interrupting the “Garden of Eden” kind of setting which investors were getting used to. 

  • quarterly asset class return forecasts q1 2018

    Quarterly Asset Class Return Forecasts: Q1 - 2018

    White papersTue, 6 Feb 2018

    The robust global economic growth experienced in 2017 is expected to continue into 2018, albeit with some notable exceptions such as UK. Such growth is to be reflected in ever higher equity price levels and thus expected to become costlier with respect to the most recent valuations.

  • market sell off requires more emphasis on diversification

    Market sell-off requires more emphasis on diversification

    White papersTue, 6 Feb 2018

    Market sell-off. After more than a year without a significant correction, equity markets declined as interest rates moved sharply higher due to concerns that inflation may be rising. 

  • us credit amundi

    US credit: don’t worry about the macro, focus on technicals

    White papersFri, 2 Feb 2018

    What should we expect for US credit in 2018, in a context where spreads and volatility are closing in on cycle lows? 

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