The common drivers behind alt risk premia’s difficult year
Statistical analysis shows four strategies caused most pain, but funds suffered differently
Those who were waiting for the alternative risk premia (ARP) sector to face its first real test got their wish in 2018.
The year was disappointing for the main indexes of both bank products and funds, with performance below the risk-free rate1 in eight months out of 12 and an average Sharpe ratio of –1.2 (see figure 1).
What happened? Here we dig into the data to understand which strategies
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Comment
From Navier-Stokes to manuscripts by the kilo: AI’s impact on quant research
As AI produces results in bulk, finance needs trusted ways to assess provenance, reliability and significance
Continuous verification holds key to keeping AI on track
Decision-by-decision testing will help users trust AI judgement calls
What happens when AI gets good at your risk management job?
Risk executive Alex Golbin asks how to build a valuable career in risk as agentic AI takes on more analysis
Repricing inflation risk in choppy energy markets
Barclays’ Samy Ben Aoun outlines a method for modelling the sensitivity of inflation swaps to energy shocks
Op risk data: KKR crushes antitrust fine record over pre-merger filing fails
Also: Dealers pay up for Mexican bond-rigging scandal; missing AML checks at UBS. Data by ORX News
Tokenisation: a load of old bull for London’s financial markets?
Focusing on tech in context of digital transformation risks repeating 1980s Taurus debacle
Treasury buyback risks a (collateral) chain reaction
Rebalancing of bond tenors could stretch collateral links to breaking point, argues economist
The ECB’s geopolitical stress test needs a price
Only a market can say how much it should cost to insure against losses from a geopolitical risk event, and none exists, argues academic
