Examining correlation within funds of hedge funds, it is important to understand sources of risk premia and their contribution to total return. We examine here alternative risk premia and how we manage risks of alternative beta and add value in portfolio construction through non-parametric techniques.
In a long-only context, the capital asset pricing model (CAPM) enables a manager to generate excess returns (versus the risk free rate) from systematic exposure to market risk (beta) plus added
The week on Risk.net, October 6-12, 2017Receive this by email
- SGX, HKEX expect to be among first wave of Mifid II equivalence
- Leaked EU doc could shield legacy swaps from clearing grab
- Quantile, TriOptima face off in cleared swaps compression battle
- ABS set for revival under US Treasury’s liquidity buffer plans
- Quants stymied by lack of alternative risk premia flows data