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 ...
Our results find substantial contagion across ARP strategies, which is difficult to predict. We derive the optimal asset allocation for an ARP portfolio under contagion risk and show that the investor’s best defence is to take less portfolio leverage. In addition, he should shy away from assets...
DEUTSCHE BACKS RISK UREMIA AS A HEDGE FUND ALTERNATIVE Team of the month As investors look for more uncorrelated sources of return, alternative risk premia strategies are growing in popularity. BBVA Asset Management recently completed what was claimed to be the largest risk premia trade of its kind...
Investors yanked some CHF900 million from the GAM Systematic Core Macro and GAM Systematic Alternative Risk Premia strategies, while market and FX movements wiped off another CHF700 million from the business. GAM Systematic manages an assortment of quantitative hedge fund and long-only investment stra...
A new financial research paper gives an ideas of how to allocate capital across several well known factor strategies: Authors: Blin, Ielpo, Lee, Teiletche Title: Factor Timing Revisited: Alternative Risk Premia Allocation Based on Nowcasting and Valuatio
Since 1986, Mount Lucas Management LP has provided innovative alternative investment strategies to institutional and high-net-worth investors that enhance and diversify traditional investments. We offer a number of distinct alternative investment strateg
AQR Alternative Risk Premia Fund N price and volume Combination chart with 2 data series. Chart represents AQR Alternative Risk Premia Fund N price and volume over 1Y period The chart has 2 X axes displaying Time, and Time. The chart has 2 Y axes displaying symbol price, and symbol volume...
(they know how to play defense), but who are also willing to opportunistically become more offensive-minded when the reward-to-risk ratio is particularly compelling. If done well, we believe this approach, combined with somewhat more systematic strategies for capturing “alternative risk premia” ...
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Stronger bidding strategies through empirical game-theoretic analysis and reinforcement learning. Empirical game-theoretic analysis (EGTA) combines tools from simulation, search, statistics, and game-theoretic concepts to study strategic properties of l... Schvartzman, Leonardo Julian. - University of Mich...