For many years, academic literature have celebrated the usage of Alternative Risk Premia (ARP) to enhance overall portfolios performances. However, some authors have recently stated that in the last decade the benefits obtained by their implementation have decreased. In this thesis, I want to investigate how profitable have been these kind of portfolios during the years. In order to do so, I will create different risk premia strategies portfolios by using a wide range of assets and then I will blend them in global factor portfolios making use of several asset allocation methods. The results will not only provide an overview of the performances produced with respect to a traditional 60/40 portfolio, but it will also allow me to identify the best allocation method for ARPs.

Does blending Alternative Risk Premia strategies improve portfolio performances?

Sartori, Marco
2020/2021

Abstract

For many years, academic literature have celebrated the usage of Alternative Risk Premia (ARP) to enhance overall portfolios performances. However, some authors have recently stated that in the last decade the benefits obtained by their implementation have decreased. In this thesis, I want to investigate how profitable have been these kind of portfolios during the years. In order to do so, I will create different risk premia strategies portfolios by using a wide range of assets and then I will blend them in global factor portfolios making use of several asset allocation methods. The results will not only provide an overview of the performances produced with respect to a traditional 60/40 portfolio, but it will also allow me to identify the best allocation method for ARPs.
2020-11-05
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.14247/5783