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
  • Subscribe Now
  • 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
  • Subscribe Now
  • 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

Business Cycle–Related Timing of Alternative Risk Premia Strategies

Bernd Scherer and Matthias Apel
The Journal of Alternative Investments Spring 2020, jai.2020.1.091; DOI: https://doi.org/10.3905/jai.2020.1.091
Bernd Scherer
is a member of the executive board and CIO at Lampe Asset Management in Düsseldorf, Germany, and a research associate at EDHEC Risk in London
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Matthias Apel
is a Ph.D. student at the Schumpeter School of Business and Economics at the University of Wuppertal, Germany, and is employed as quantitative analyst by Lampe Asset Management in Düsseldorf, Germany
  • 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? Sign up today to begin your trial to the PMR platform 

Abstract

Time variation in risk premia is not a violation of market efficiency but rather a reflection of time-varying economic rewards. By analyzing macroeconomic sensitivities (proxying for good and bad times), the authors show that time-varying returns of certain alternative risk premia strategies are significantly related to economic conditions. On the basis of identified return patterns, the authors construct a risk premia timing strategy that adds statistically significant marginal performance with low turnover. They confront data mining concerns by successfully cross validating their model across various investment universes.

TOPICS: Analysis of individual factors/risk premia, real assets/alternative investments/private equity

Key Findings

  • • The authors show that the returns of certain alternative risk premia strategies are statistically significant related to economic conditions.

  • • Evidence provided give no indication that the documented performance patterns are driven by underlying beta exposure.

  • • Given the observed macroeconomic sensitivities the authors construct a risk premia timing strategy that add marginal performance with low turnover to a risk-parity portfolio.

  • © 2020 Pageant Media Ltd
View Full Text

Don’t have access? Register today to begin unrestricted access to our database of research.

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.
Business Cycle–Related Timing of Alternative Risk Premia 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
Business Cycle–Related Timing of Alternative Risk Premia Strategies
Bernd Scherer, Matthias Apel
The Journal of Alternative Investments Feb 2020, jai.2020.1.091; DOI: 10.3905/jai.2020.1.091

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
Business Cycle–Related Timing of Alternative Risk Premia Strategies
Bernd Scherer, Matthias Apel
The Journal of Alternative Investments Feb 2020, jai.2020.1.091; DOI: 10.3905/jai.2020.1.091
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
    • METHODOLOGY
    • DATA
    • EMPIRICAL RESULTS
    • CROSS-VALIDATION
    • CONCLUSION
    • ADDITIONAL READING
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • An Inconvenient Fact: Private Equity Returns and the Billionaire Factory
  • Benchmarking the Performance of Private Equity Portfolios of the Worlds Largest Institutional Investors: A View from CEM Benchmarking
  • COMMENTARY: Wake Up!
  • The Impact of Smoothness on Private Equity Expected Returns
  • Has Private Equity Performed for Investors? An Annotated Bibliography
  • Institutional Investment Strategy and Manager Choice: A Critique
  • 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