TY - JOUR T1 - Business Cycle–Related Timing of Alternative Risk Premia Strategies JF - The Journal of Alternative Investments DO - 10.3905/jai.2020.1.091 SP - jai.2020.1.091 AU - Bernd Scherer AU - Matthias Apel Y1 - 2020/02/19 UR - https://pm-research.com/content/early/2020/02/19/jai.2020.1.091.abstract N2 - 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 equityKey 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. ER -