Hedge Funds vs. Alternative Risk Premia

Jorion, Philippe

doi:10.1080/0015198x.2021.1960133

Financial Analysts Journal

2021

DOI: 10.1080/0015198x.2021.1960133

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Hedge Funds vs. Alternative Risk Premia

Philippe Jorion

Abstract: Passive management has transformed the asset management industry. The first index fund was started in 1972. Since then, the US index mutual fund industry has grown to more than $4 trillion, which represents 24% of the industry's assets under management. This growth was driven by skepticism about the value of active management and a relentless search for lower fees.

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Cited by 3 publications

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Pension fund investments in infrastructure

Carlo,

Eichholtz,

Kok

et al. 2023

J Asset Manag

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Infrastructure investment is increasingly important for institutional investors. This paper focuses on pension fund allocations to infrastructure, using the CEM Benchmarking database. We document that larger pension funds, public pension funds, and pension funds with a higher allocation to other alternative assets are more likely to invest in infrastructure. Pension funds across the globe face infrastructure investment costs that are comparable, but we observe significant scale advantages in infrastructure investments, with larger pension funds exhibiting lower investment costs, and higher net returns. Importantly, infrastructure has been among the best-performing asset classes, as measured by net returns, and we document persistence in pension fund infrastructure investment performance over a one-year horizon.

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Pension fund investments in infrastructure

Carlo,

Eichholtz,

Kok

et al. 2023

J Asset Manag

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Endowment asset allocations: insights and strategies

Arnold,

Earl,

Farizo

et al. 2024

J Asset Manag

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Using monthly data from 1997 to 2023, we construct mean-variance optimized portfolios of common university endowment asset classes, including domestic equity, international equity, global bonds, hedge funds, private equity, real estate, and natural resources. We find substantial variation in optimal allocations to these asset classes across subperiods. Some asset classes are substantially more persistent in receiving allocations than others, while some asset classes rarely receive sizable allocations at all. Our results highlight the relevance of asset allocation in portfolio performance and may inform future decisions by institutional investors and endowment portfolio managers.

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Hedge Fund Performance under Misspecified Models

et al. 2020

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Hedge Funds vs. Alternative Risk Premia

Cited by 3 publications

References 19 publications

Pension fund investments in infrastructure

Pension fund investments in infrastructure

Endowment asset allocations: insights and strategies

Hedge Fund Performance under Misspecified Models

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