The market risk premium reflects the difference between equity market returns and the returns which can be made from a…
Using the CAPM Model to Price Risk and Allocate Capital Efficiently
This can be important for factor-based strategies which often target market abnormalities and mispricing in order to improve returns. Factor-driven…
Risk Premium Applied to Individual Equity Assets
The risk premium of an asset is the excess return it generates which can be seen as compensation for taking…
Risk Premia Strategies: How They Extract a Factor Premium
Long-short risk premia strategies can make use of various tools to capture high returns, including short selling, leverage and derivatives….
Does the Low Volatility Alpha Fund Exist?
While many investors might pick a low-volatility strategy for its risk-controlling attributes, these products are also promoted for their ability…
Market Risk & Strategy Examples: Analyst Jobs in the UK Just Got Tough
Severe financial market events, like the “Brexit” vote in which Britons opted to leave the 28-member European Union (EU), stoke…
Alpha Strategies: Should Volatility Represent Risk?
Being a core part of modern portfolio theory, Alpha quantifies the above-market return which an investment delivers, while beta measures…
Risk Premia Strategies
Risk premia strategies target absolute returns through long-short positions across various factors and asset classes. As such, these rules-based strategies…
Smart Beta Strategies: Victims of Their Own Success in the Long Run?
Since the first smart beta exchange traded fund (ETF) was launched in 2003, the number of these products available to…
Measuring Risk and Return in an Equity Fund Using Alpha and Beta
Alpha is a financial risk ratio which can be used to predict returns from holding an investment. Alpha can be…
Smart Beta, Risk Premia and Hedge Fund Replication
Alternative beta strategies are growing in number and popularity partly because they are able to replicate the return sources of…
How to weigh asset classes within a cross asset Risk Premia portfolio
When it comes to build a balanced cross asset portfolio of Risk Premia, one of the issues that needs to be addressed is the relative weight of each asset class