​Uncia’s Messias: Smart Earnings & Equity Risk Premia

In recent years, financial market practitioners have increasingly spoken about risk premia. Institutional investors, mainly pension funds, are disappointed with hedge funds returns and especially the non-fulfilled commitment of getting uncorrelated returns with respect to equity index returns versus high fees. As a well-known statistic shows, on average, hedge fund performances could be replicated with systematic short positions in a one-month 90% put on the SPX. As of today, the risk premia universe is delivering persistent returns, but fees have been dramatically lowered compared to hedge funds, the ratio being from almost 10 to 1. Within this innovative universe, very different systematic strategies can be found. One strategy, called ‘Smart Earnings’ is an example of a systematic strategy that can be explored by investors amid earnings announcements.