Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • CAIA Member Login
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Alternative Investments
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Alternative Investments

The Journal of Alternative Investments

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • CAIA Member Login
  • LinkedIn
  • Twitter

Performance Dispersion Risk Assessment in Alternatives and Active Strategies

Amit Soni
The Journal of Alternative Investments Spring 2020, jai.2020.1.088; DOI: https://doi.org/10.3905/jai.2020.1.088
Amit Soni
is a portfolio manager in the Multi Asset Solutions team at New York Life Investments in New York, NY
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 

Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

Alternatives have gained significant investor attention recently. Unfortunately, the lack of a holistic investment framework to incorporate alternatives in a traditional portfolio poses a challenge. Traditional risk–return based approaches, alone, over-allocate to alternatives—a result of underestimation of risks resulting from (a) significant manager dispersion and (b) smoothness in the pooled return indexes used for alternatives. Much research corrects for smoothness of returns; however, the risk from performance dispersion remains mostly unaddressed. In this study, the author discusses a methodology to quantify performance dispersion risk and incorporate it in the portfolio construction process.

TOPICS: Portfolio management/multi-asset allocation, real assets/alternative investments/private equity, private equity, performance measurement

Key Findings

  • • Alternative Investments exhibit a much higher degree of performance dispersion among managers than traditional asset classes.

  • • Traditional risk measurement approaches on pooled return indices utilized for alternatives underestimate the actual risk of an investment in alternative asset classes.

  • • Performance dispersion risk of investing in an alternative strategy can be measured similar to the idiosyncratic risk of a stock and should be included in any risk based portfolio construction process.

  • © 2020 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
Next
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Alternative Investments: 23 (3)
The Journal of Alternative Investments
Vol. 23, Issue 3
Winter 2021
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Alternative Investments.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Performance Dispersion Risk Assessment in Alternatives and Active Strategies
(Your Name) has sent you a message from The Journal of Alternative Investments
(Your Name) thought you would like to see the The Journal of Alternative Investments web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Performance Dispersion Risk Assessment in Alternatives and Active Strategies
Amit Soni
The Journal of Alternative Investments Jan 2020, jai.2020.1.088; DOI: 10.3905/jai.2020.1.088

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Performance Dispersion Risk Assessment in Alternatives and Active Strategies
Amit Soni
The Journal of Alternative Investments Jan 2020, jai.2020.1.088; DOI: 10.3905/jai.2020.1.088
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • PORTFOLIO DILEMMA
    • PORTFOLIO CONSTRUCTION WITH ALTERNATIVES
    • PERFORMANCE DISPERSION BY ASSET CLASS OR STRATEGY
    • CONCLUSION
    • ADDITIONAL READING
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 13 1600
 
NEW YORK
41 Madison Avenue, 20th Floor, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1520-3255 | E-ISSN: 2168-8435

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies