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

Sources of Return Dispersion in Alternative Risk Premia

David E. Kuenzi
The Journal of Alternative Investments Spring 2020, jai.2020.1.089; DOI: https://doi.org/10.3905/jai.2020.1.089
David E. Kuenzi
is a senior portfolio manager and senior research scientist at AlphaSimplex Group LLC in Cambridge, MA
  • 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

The author qualitatively identifies eight sources of potential return dispersion across portfolios of risk premia strategies, including strategy inclusion, amount of systematic risk, instrument choices, parameter choices, instrument weighting mechanisms, data choices, execution timing/execution processes, and level of crowding in the strategies employed. The author then performs simulation analysis that shows that returns of simulated portfolios can be quite different from one another as a result of altering just a few of the sources of risk premia return dispersion. While others have noted the return dispersion of risk premia providers, the author’s contribution is to provide an initial taxonomy of the drivers of this dispersion as well as an analysis that helps to make these ideas more concrete.

TOPICS: Analysis of individual factors/risk premia, portfolio theory, portfolio construction

Key Findings

  • • Alternative risk premia (ARP) portfolios and indexes tend to perform very differently from one another, with low correlations and substantial return differentials, despite being similar in name and broad investment approach. This renders ARP funds difficult to compare, analyze, and benchmark.

  • • The sources of return dispersion generally fall into eight categories. Analysis of ARP managers along these dimensions may be useful in determining how and why return streams of particular managers differ. This taxonomy may also be helpful in determining which ARP managers are most suitable for a given investor.

  • • Alternative risk premia strategy implementation matters, and there is no substitute for a more nuanced understanding of the potential offerings in the space.

  • © 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 (4)
The Journal of Alternative Investments
Vol. 23, Issue 4
Spring 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.
Sources of Return Dispersion in Alternative Risk Premia
(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
Sources of Return Dispersion in Alternative Risk Premia
David E. Kuenzi
The Journal of Alternative Investments Jan 2020, jai.2020.1.089; DOI: 10.3905/jai.2020.1.089

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
Sources of Return Dispersion in Alternative Risk Premia
David E. Kuenzi
The Journal of Alternative Investments Jan 2020, jai.2020.1.089; DOI: 10.3905/jai.2020.1.089
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
    • SOURCES OF ALTERNATIVE RISK PREMIA IMPLEMENTATION DISPERSION
    • SIMULATION ANALYSIS OF SOME WELL-KNOWN RISK PREMIA STRATEGIES
    • CONCLUSION
    • ADDITIONAL READING
    • ACKNOWLEDGMENT
    • APPENDIX
    • 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