Alt risk premia study finds ‘zero alpha’, clear beta to bonds

Vanilla exposures explain as much as two-thirds of returns, authors say


An upcoming study casts further doubt on the credentials of alternative risk premia strategies as a diversifying investment.

Research seen by ahead of its release has found that composite portfolios of bank alt premia strategies seem to deliver “zero alpha” and saddle investors with risk exposures little different from investing in run-of-the-mill benchmarks.

“For people who buy these strategies to diversify away from a traditional 60-40 portfolio our findings are not welcome news,”

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