New recipes for bond alt premia – the impact of market liquidity

New recipes for bond alt premia – the impact of market liquidity

New recipes for bond alt premia – the impact of market liquidity

Alternative risk premia strategies have had a tough time, turning out often to be more closely correlated to one another than expected. At the same time, fixed income remains a broadly unexplored domain, in which some strategies popularised in other markets should – in theory – work. Banks and asset managers are hard at work on formulating a new generation of strategies in the area.

This session will review:

  • Diversification within alternative risk premia – have investors seen benefits?
  • The impact of market liquidity and intervention from central banks
  • What does this mean for the design and implementation of new strategies?


Julien Turc

Head of the QIS lab, global markets

BNP Paribas

Julien Turc is a visiting researcher in economics at Ecole Polytechnique (Palaiseau) and head of the QIS Lab at BNP Paribas. He has 23 years of experience working on quantitative and systematic strategies in all asset classes. His research covers allocation processes, alternative risk premia and hedging. Julien used to be head of cross-asset quant strategy at Societe Generale. He teaches credit derivatives at Paris 6 University and graduated from Ecole Polytechnique in 1997.

Tony Morris

Global head quantitative strategies


Tony is a Managing Director in Nomura’s Global Markets Research team, based in London. He heads the Quantitative Strategies (QS) team, which clients rank as one of the leading groups of its kind in the industry. QS focuses on objective measurement of fundamental economic and market dynamics around the world. Grounded in these measurements, QS makes recommendations that a number of internal and external clients track. Asset classes covered include interest rates, commodities, currencies, credit and equities. The team’s combined portfolio has outperformed relevant hedge fund benchmarks. Tony holds a PhD in financial economics from New York University and a BA from Dartmouth College, where he earned a place in the Phi Beta Kappa academic honour society

Danny White

Executive director, credit structuring

J.P. Morgan

Danny White is head of J.P. Morgan’s Credit Index Structuring team, responsible for creating quantitative investment strategies in the credit space that can be directly invested in by clients. Prior to moving to structuring in 2015, Danny worked in J.P. Morgan’s Credit Derivatives and Quantitative Credit Research team for five years, writing papers, trade ideas and thematic pieces on a wide number of topics in credit including credit default swaps, indices, options, tranches, systematic strategies and quantitative corporate bond investing. Danny holds a Bachelors and Masters degree in Mathematics from the University of Cambridge.

Antti Suhonen

Professor of Practice in Finance

Aalto University School of Business

Antti Suhonen, Professor of Practice in Finance, Aalto University School of Business