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...
Alternative risk premia are encountering growing interest from investors. The vast majority of the academic literature has been focusing on describing the alternative risk premia (typically, momentum, carry and value strategies) individually. In this article, we investigate the question of allocation acro...
AQR Alternative Risk Premia Fund N (QRPNX) Frequently Asked Questions People Also Follow SymbolLast PriceChange QSPNX 8.06 0.37% AQR Style Premia Alternative Fund N MAFAX 11.77 -0.93% Abbey Capital Multi Asset Fund A AQGRX 11.53 0.17%
(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” ...
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
Portfolio Risk and Performance Should Your Portfolio Protection Work Fast or Slow? Q4 2022 - Portfolio Solutions Group 2022’s drawdown provides a clear picture for the types of strategies that can actually deliver in a “slow burn” market downturn. While some options-based strategies have gener...
The fund is an actively managed ETF that seeks to achieve its investment objective by investing, primarily through total return swaps, in a diversified portfolio of third-party quantitative investment strategies across equities, interest rates, commodities, and currencies. The swaps provide returns to ...
Loan investors may access attractive credit risk premia historically captured by banks, while diversifying their portfolio fixed income and credit exposures. Alternative Lending Model Alternative Lending Model With alternative lending, technology-enabled models rapidly underwrite borrower credit risk to determine...
(copies of which may be accessed through the Securities and Exchange Commission's website athttp://www.sec.gov), including those found therein under the captions "Risk Factors" and "Management's Discussion and Analysis of Financial Condition and Results of Operations". In ad...