2017
DOI: 10.2139/ssrn.3045057
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Alternative Risk Premia: Is the Selection Process Important?

Abstract: Alternative Risk Premia (ARP) are rule-based strategies. They should reward investors exposed to non-traditional systematic risk factors. Yet, allocation to ARP is not straightforward. First, there are many ARP indices proposed by different providers that claim to capture the same underlying risk premia. Second, a proposed index may not automatically mimic an existing risk premium whose performance is sustainable or persistent. Our findings confirm these suspicions. If some categories of indices show risk-retu… Show more

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