Does Alternative Risk Premia Diversify? New Evidence for the Post-Pandemic Era

A recent paper, published by Antti Suhonen (Aalto University School of Business) and Kari Vatanen (Veritas Pension Insurance) on Social Science Research Network (SSRN), examines the risks and diversification properties of multi-asset alternative risk premia (ARP) strategies using Premialab Pure Factors®, encompassing investable ARP products.

The paper identifies strategies demonstrating sensitivities during market drawdowns and highlights potential portfolio diversifiers. Furthermore, it establishes a correlation between ARP performance and shifts in real rates and breakeven inflation.

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