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Multi-Asset: Alternative Risk Premia

In: Index Fund Management

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  • Fadi Zaher

    (Index Solutions & Investment Specialists)

Abstract

In the past decade, the relationship between traditional asset classes got distorted by crises, a low-interest rate environment and global central bank policies. Asset classes became more correlated, posing challenges in finding liquid and diversified strategies. Alternative Risk Premia (ARP) can assist in providing uncorrelated sources of returns to traditional asset classes and general markets. It is an extension of traditional factor-based investing, and historically it has served as a foundation to the hedge fund community across multi-asset and systematic strategies such as the carry trade and trend following. This chapter provides an insight into the theory and practicality behind ARP strategies. The focus is narrowed to the segments of ARP strategies that have academic roots and allow for a rules-based implementation in portfolios. There are no universal rules that govern the ARP world. However, it provides an opportunity to systematically harvest returns of hedge fund investment styles in an effective, diversified and transparent way.

Suggested Citation

  • Fadi Zaher, 2019. "Multi-Asset: Alternative Risk Premia," Springer Books, in: Index Fund Management, chapter 11, pages 205-234, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-19400-0_11
    DOI: 10.1007/978-3-030-19400-0_11
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