Here in the Real World: The Performance of Alternative Beta

Antti Suhonen, Matthias Lennkh

Tutkimustuotos: LehtiartikkeliArticleScientificvertaisarvioitu

Abstrakti

We examine the realized performance of alternative beta strategies using a database of returns since 2008. Despite diversified portfolios of risk premia strategies offered by global investment banks achieving satisfactory Sharpe ratios of 0.80 – 1.07 during the decade to 2017, up to two thirds of the performance can be explained by exposure to traditional benchmarks. Furthermore, the outcomes are very sensitive to the estimated all-in fees incurred by investors. We find no evidence of positive alpha in the aggregate industry returns, and document a pattern of time-varying, asymmetric, and statistically significant betas to global equities and bonds. Our results suggest that the poor performance of the strategies in 2018-20 was not an aberration, but rather a continuation of patterns already present in earlier data. The findings are representative of the wider risk premia industry, as returns of managed alternative risk premia funds and those of diversified investment bank strategy portfolios appear closely aligned.
AlkuperäiskieliEnglanti
Artikkeli4
Sivut73-110
Sivumäärä37
JulkaisuJournal of Systematic Investing
Vuosikerta1
Numero1
DOI - pysyväislinkit
TilaJulkaistu - 23 helmik. 2021
OKM-julkaisutyyppiA1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä

Sormenjälki

Sukella tutkimusaiheisiin 'Here in the Real World: The Performance of Alternative Beta'. Ne muodostavat yhdessä ainutlaatuisen sormenjäljen.

Siteeraa tätä