Alt risk premia chasing 'tail beta'

Rob Mannix
@RobMannix
04 May 2020

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When markets fell into a pandemic-provoked tailspin in March, investors in alternative risk premia strategies got an unwelcome reminder that ARP won’t always help in a crisis. These alternative strategies – intended to move independently of wider markets – fell as if they were tethered to plunging stocks. Some portfolios are down by over 15% year to date.

The crash exposed technical flaws in the way some strategies are constructed. In many, it has shown up so-called tail beta – vulnerability to

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