How diversifying too far weakened alt risk premia’s rebound
Strategies that hurt ARP funds in 2018 did better but some cancelled out last year, write Luc Dumontier and Guillaume Garchery
After undershooting risk-free returns by more than 6% on average in 2018, alternative risk premia (ARP) funds made a modest recovery last year. The SG Multi Alternative Risk Premia (MARP) index, which includes returns for the 10 largest multi-asset, multi-alternative risk premia investment funds, posted an excess return over the Federal Funds Rate of +1.7%.
Could they have done better, though? Should they have?
Equity premia, equity index short volatility strategies, cross-asset trend
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