How diversifying too far weakened alt risk premia’s rebound

Luc Dumontier and Guillaume Garchery, LFIS
18 Feb 2020

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After undershooting risk-free returns by more than 6% on average in 2018, alternative risk premia (ARP) funds made a modest recovery last year. The SG Multi Alternative Risk Premia (MARP) index, which includes returns for the 10 largest multi-asset, multi-alternative risk premia investment funds, posted an excess return over the Federal Funds Rate of +1.7%.

Could they have done better, though? Should they have?

Equity premia, equity index short volatility strategies, cross-asset trend

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