Building a Convex Portable Alpha Solution for Volatile Markets

February 2026

As markets enter 2026 near historic highs, with elevated valuations and rising dispersion, allocators are re-examining how they diversify equity risk. A convex portable alpha approach seeks to address this by layering a diversifying, uncorrelated alpha source on top of equity beta, with the aim of adding resilience precisely when equity markets come under stress. In this recorded session, we discuss why many conventional portable alpha implementations can become correlated at the worst possible moment, and how a systematic, globally diversified alpha engine can be built to behave differently. We describe how the approach draws on more than twenty developed and emerging equity index futures markets and a broad set of independent forecast models, and why, in our view, convexity can come by construction rather than by paying away returns in calmer markets. Our aim is not to take a view on any single market, but to show how a rules-based process can pursue alpha that is intended to be portable across market environments.

What We Cover

  • The structural pitfalls in common portable alpha implementations, including alternative risk premia, long-short equity, options overlays, trend following, and structured products
  • Why several of these approaches can become correlated with equity beta during market stress, and why options-based overlays can carry a cost in calmer markets
  • How a globally diversified alpha engine is built from independent forecast models spanning developed and emerging equity index futures markets
  • Why the approach targets convexity by construction, through diversification across markets, models, and time horizons
  • How forecast horizons map to volatility regimes, and how allocation across horizons is intended to adapt through changing markets
  • How the beta exposure can be implemented, and how the process approaches liquidity, leverage, and the correlation between the alpha and beta components

Key Takeaways

  • Diversification can build resilient convexity. Convexity can come from diversification across many markets, models, and time horizons. This is more resilient than relying on a single hedge or overlay.
  • Breadth and independence drive resilient signals. Resilient forecasts come from the breadth and independence of many models, not from any single signal family.
  • Conventional portable alpha can fail when it is needed most. Many common designs become correlated with equity beta in stressed markets. Yet that is exactly when diversification should matter most.
  • Different time horizons suit different volatility regimes. Short-horizon signals tend to fit volatile markets, while longer-horizon signals suit calmer ones. Blending them can adapt to volatility rather than predict it.
  • Risk here centres on dispersion, not just direction. Dispersion compression in low-volatility conditions is a primary risk. Diversifying across markets, signals, and regions can help manage it.

The Presenters

Nishant Gurnani, Partner, Quantitative Researcher

Nishant leads futures and FX research at Versor Investments working closely with the Investment Committee in driving the investment research agenda across all strategies. Based in New York, Nishant operates across the full spectrum of strategy development from alpha signal generation to portfolio construction. Additionally, he plays an integral role in the Firm’s efforts in alternative data sourcing and the applications of machine learning.

DeWayne Louis, Founding Partner, Capital Formation

DeWayne Louis joined Versor Investments as a Founding Partner and is based in New York. DeWayne has over 20 years of experience in quantitative investment strategies, investment banking, private equity and hedge funds.

Disclaimer: Past performance is not necessarily indicative of future results. Participation in this webinar is limited to Qualified Eligible Participants (QEPs) as defined under applicable regulations. For informational purposes only. Not an offer to sell or a solicitation of any type with respect to any securities or financial products.

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