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　 Global Quantitative & Derivatives Strategy 11

　March

　2020

　 Defensive

　Risk

　Premia

　Systematic

　Strategies

　for

　the

　Risk-Off

　Times

　 In

　the

　current

　paper,

　we

　focus

　on

　risk-premia

　strategies

　that

　are

　expected

　to deliver

　performance

　when

　major

　asset

　classes

　and

　in

　particular

　equities

　incur sell-offs.  Our proposition relies on diversification among timeframes, profit drivers, asset classes and P&L profiles.  We put forward three groups of defensive risk premia strategies ‒ core, tactical hedging, and satellite.  The core defensive strategies typically have low capacity constraints and longer track

　records.

　We

　discuss

　the

　profit

　drivers

　and

　empirical

　performance

　of asymmetric

　 trend-following,

　 synthetic

　 defensive

　 baskets,

　 mean-reversion, quality and low volatility equity factors.  A

　comprehensive

　flow-based

　sentiment

　indicator

　and

　a

　cross-asset

　volatility- based sentiment indicator are used to determine the right time to place hedges.  Satellite

　strategies

　as

　intraday

　momentum

　and

　correlation

　breakout

　capture bring additional diversification in risk-off times.  An

　optimization

　process

　that

　takes

　into

　account

　the higher

　portfolio

　moments and

　the

　time-series

　of

　the

　hedged

　asset

　is

　implemented

　to

　construct

　a

　robust portfolio of defensive risk premia strategies. Global

　Quantitative

　and Derivatives

　Strategy

　Dobromir

　Tzotchev,

　PhD

　AC

　(44-20)

　7134-5331

　dobromir.tzotchev@jpmorgan.com

　J.P.

　Morgan

　Securities

　plc

　Rahul

　Dalmia

　(44

　20)

　7134-5883

　rahul.dalmia@jpmorgan.com

　J.P.

　Morgan

　Securities

　plc

　Ada

　Lau

　(852)

　2800-7618

　ada.lau@jpmorgan.com

　J.P.

　Morgan

　Securities

　(Asia

　Pacific)

　Limited/

　J.P.

　Morgan

　Broking

　(Hong

　Kong)

　Limited

　Twinkle

　Mehta

　(91-22)

　6157

　3324

　twinkle.mehta@jpmchase.com

　J.P.

　Morgan

　India

　Private

　Limited

　Marko

　Kolanovic,

　PhD

　(1-212)

　622-3677

　marko.kolanovic@jpmorgan.com

　J.P.

　Morgan

　Securities

　LLC

　 Figure 1: Diversification benefits of an optimized defensive portfolio Table 1: Performance statistics

　Optimized Defensive Portfolio

　S&P500

　Combination of

　Optimized Defensive Portfolio

　and S&P500

　 Source:

　J.P.

　Morgan

　Quantitative

　and

　Derivatives

　Strategy

　 Ann

　Return

　9.7%

　6.20%

　15.9%

　Ann

　Volatility

　14.5%

　18.60%

　15.7%

　Sharpe

　0.67

　0.33

　 1.01

　Max

　DD

　34.4%

　61.40%

　24.6%

　Skewness

　1.03

　0.16

　 0.26

　 Kurtosis

　30.23

　12

　4.71

　 Source:

　J.P.

　Morgan

　Quantitative

　and

　Derivatives

　Strategy

　See page 63 for analyst certification and important disclosures, including non-US analyst disclosures. J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. www.jpmorganmarkets.com

　Table of Contents Defensive Risk Premia Portfolios

　............................................... 3 The Case for Defensive Risk Premia Strategies

　......................................................... 3 Defensive Risk Premia Strategies Selection

　............................................................... 3 The Benefits of a Diversified Portfolio of Defensive Risk Premia Strategies

　............. 5 Portfolio Construction for Risk-Off Times

　................................................................. 7 Core Defensive Risk Premia Strategies

　.................................... 7 Asymmetric Trend-Following

　.................................................................................... 7 Synthetic Defensive Baskets

　..................................................................................... 17 Single Asset Mean-Reversion

　.................................................................................. 29 Defensive Long/Short Equity Factors

　...................................................................... 38 Tactical hedging

　............................................................................ 42 Comprehensive Flow-based Sentiment Indicator

　..................................................... 42 Cross-asset Volatility-based Sentiment Indicator

　..................................................... 44 Satellite Strategies

　........................................................................ 46 Intraday Momentum

　................................................................................................. 46 Correlation Breakout Capture

　................................................................................... 49 Portfolio Construction for Risk-off Times

　............................... 51 Performance of the Optimized Defensive Portfolios

　................................................ 52 Optimized Portfolios of Safe-Haven Assets

　............................................................. 54 Appendix

　.......................................................................................... 57 P&L Profile Asymmetric Trend-Following System

　................................................. 57 P&L Profile Two-Sided Mean-Reversion

　................................................................ 58 P&L Profile Defensive Mean-Reversion

　.................................................................. 59 Performance in Various OECD regimes

　................................................................... 60 Performance in Various VIX regimes

　...................................................................... 61 Performance during the 10 Biggest S&P500 Drawdowns

　........................................ 62 Performance during the 10 Biggest Weekly S&P500 Drops

　.................................... 62 Performance during the 10 Biggest Daily S&P500 Drops

　........................................ 62

　Defensive Risk Premia Portfolios The Case for Defensive Risk Premia Strategies Risk premia strategies have been put forward as a diversifying proposition ‒ their returns stream is uncorrelated to that of major asset classes and also the correlation among the component strategies of the risk premia portfolio is low.

　While many of the risk premia strategies have remained uncorrelated to each other (see for example our statistical analysis in

　Quantitative

　Perspectives on Cross-Asset

　Risk

　Premia

　from 17 January 2020), the

　correlation of risk

　premia to

　equity markets and the implicit long equity exposure has been on the rise (please refer to the empirical analysis in „Risk premia sensitivity to rates/equities, implications of JPM 2019 FICC outlooks and our latest timing forecasts‟).

　The occurrences of simultaneous sell-offs in both major markets and risk premia strategies have become more frequent and risk premia portfolios have started to exhibit negative skewness (please see our analysis of tail risks in risk premia strategies and portfolios in Quantitative Perspectives on Cross-Asset Risk Premia (from 6 March 2019).

　In the current paper, we focus on risk-premia strategies that are expected to deliver performance when major asset classes and in particular equities incur sell-offs. In this respect defensive risk premia portfolios consist of systematic strategies that can diversify and protect both traditional asset classes as well as for mainstream risk premia portfolios.

　Defensive Risk Premia Strategies Selection Our proposition for a defensive risk premia portfolio heavily relies on diversification and consists of a combination of core defensive strategies, tactical hedging, and satellite strategies.

　Figure 2: Three groups of defensive risk premia strategies

　 Source:

　J.P.

　Morgan

　Quantitative

　and

　Derivatives

　Strategy

　 While detailed description of all strategies can be found further in the body of the paper below, we briefly describe the main features of the various groups of strategies and their components.

　Core

　defensive

　strategies have low capacity constraints and longer track records that warrant a more sizable allocation. Typically

　core

　defensive

　strategies

　are

　strategies

　that

　are

　well-known

　to

　investors.

　Nevertheless,

　we

　have

　made

　design modifications to some of them in order to enhance the defensive characteristics and we have also put forward some new proposals. Core Strategies Defensive Risk Premia

　Tactical Hedging Satellite Strategies

　In

　our

　case

　the

　core

　defensive

　strategies

　consist

　of

　asymmetric

　trend-following,

　synthetic

　defensive

　baskets,

　single-asset mean-reversion, quality, and low volatility low/short pure equity factors:  Asymmetric

　trend-following

　is

　a

　modification

　of

　our

　trend-following

　strategy

　(Designing

　Robust

　Trend- Following System by Tzotchev et al.) with some enhancements aimed at isolating and improving the performance in risk-off times. In particular only one-sided positions that correspond to a risk-off environment are taken: short positions in equities and commodities (except for gold) and long positions in bonds and USD.  Synthetic

　defensive

　baskets are

　a new

　proposition

　based

　on

　our

　market-neutral

　carry

　strategy (Market-Neutral Carry Strategies). The strategy relies on opportunistic capture of both carry and momentum income opportunities which facilitate the maintenance of a hedging position in the desired direction.  Single-asset

　mean-reversion

　has

　also

　been

　a

　popular

　strategy

　and

　in

　our

　analysis

　we

　focus

　on

　not

　only

　the empirical but also the theoretical underpinnings of the strategy‟s profit drivers in risk-off times.  The defensive characteristics of quality and low volatility low/short equity factors have already been discussed in Equity Risk Premia Strategies primer by Kolanovic (2014). For the current application, we use the pure quality and

　low

　volatility

　factors

　described

　in

　The

　Quest

　for

　Pure

　Equity

　Factor

　Exposure

　and

　we

　add

　an

　additional defensive tilt to those factors allowing a negative exposure to the market in the optimisation.

　The tactical

　hedging approach aspires at determining the right time to place hedges and their optimal size. We rely on a systematic signal that should provide us wit...