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Alternative Risk Premia: What Do We Know? - …
Alternative Risk premia : what Do We Know? Thierry RoncalliQuantitative ResearchAmundi asset Management, 2017 AbstractThe concept of Alternative risk premia is an extension of the factor investing ap-proach. Factor investing consists in building long-only equity portfolios, which aredirectly exposed to common risk factors like size, value or momentum. Alternative riskpremia designate non-traditional risk premia other than a long exposure to equities andbonds. They may involve equities, rates, credit, currencies or commodities and corre-spond to long/short portfolios. However, contrary to traditional risk premia , it is moredifficult to define Alternative risk premia and which risk premia really matter. In fact,the term Alternative risk premia encompasses two different types of systematic riskfactor: skewness risk premia and market anomalies.
Alternative Risk Premia: What Do We Know? equity space, the capital asset pricing model has been supplemented by a ve-factor model, which is based on size, value, momentum, low beta and quality risk factors.
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