Latest Research Paper

Fulcrum’s research team develops quantitative tools that underpin our investment strategies. To ensure the highest standard of research, we aim to publish our findings in peer-reviewed journals.

Research Papers

Volatility Risk Premium: Stick, Twist or Fold

Volatility Risk Premium: Stick, Twist or Fold

February 20, 2019
While there is little dispute among investors...
Misconceptions Around The Volatility Risk Premium

Misconceptions Around The Volatility Risk Premium

October 30, 2018
The Volatility Risk Premium (VRP) is one...
Fulcrum Multi Asset Volatility

Fulcrum Multi Asset Volatility

August 28, 2018
The Volatility Risk Premium occupied the headlines in...
The Alternative View – VRP and Credit

The Alternative View – VRP and Credit

May 15, 2018
The VRP as a practical alternative to...
The Alternative View – Trend, Crises and the Cost of Protection

The Alternative View – Trend, Crises and the Cost of Protection

November 8, 2017
Trend-following strategies are widely recognised for providing...
The Alternative View: The Multi-Asset Volatility Risk Premium

The Alternative View: The Multi-Asset Volatility Risk Premium

August 1, 2017
The latest edition of Fulcrum’s Alternative View...
The Alternative View: How Fast Should We Measure Volatility?

The Alternative View: How Fast Should We Measure Volatility?

April 25, 2017
A common theme across systematic strategies is...
The Alternative View: Trend Following – One speed to Rule Them All

The Alternative View: Trend Following – One speed to Rule Them All

November 26, 2016
In recent years, we have seen a...
The Alternative View: Observations and Prospects for Carry Strategies

The Alternative View: Observations and Prospects for Carry Strategies

October 19, 2016
The compression of investment returns has posed...
Don’t Bet the Ranch – Hit Ratios, Asymmetry and Breadth

Don’t Bet the Ranch – Hit Ratios, Asymmetry and Breadth

November 27, 2015
This paper discusses our framework for assessing...
The Alternative View: Multi-Asset Alternative Beta

The Alternative View: Multi-Asset Alternative Beta

March 2, 2015
Alternative beta refers to risk factors that...
The Alternative View: The Past and the Future for Trend Investing

The Alternative View: The Past and the Future for Trend Investing

February 5, 2014
Extracting Information from Momentum Returns The recent...