A Framework for Risk Premia Investing

8 Pages Posted: 21 Dec 2017

See all articles by Kari Vatanen

Kari Vatanen

Veritas Pension Insurance

Antti Suhonen

Aalto University School of Business

Date Written: December 21, 2017


We propose a new framework for alternative risk premia investing to facilitate the construction of balanced portfolios of commonly known strategies across asset classes. The categories of the framework, fundamental, behavioral, and structural premia, describe the nature and the robustness of the premia within the category. Each of the categories is further divided into a defensive and offensive compartment depending on the risk characteristics of the premia.

Keywords: Factor Investing, Alternative Beta, Smart Beta, Risk Premia, Style Investing, Quantitative Investment Strategies, Portfolio Construction, Asset Allocation, Anomaly, Quality, Value, Carry, Volatility, Momentum, Low Beta

JEL Classification: G11, G12, G15

Suggested Citation

Vatanen, Kari and Suhonen, Antti, A Framework for Risk Premia Investing (December 21, 2017). Available at SSRN: https://ssrn.com/abstract=3091653 or http://dx.doi.org/10.2139/ssrn.3091653

Kari Vatanen (Contact Author)

Veritas Pension Insurance ( email )

Pohjoisesplanadi 35Aa
Helsinki, 00100
+358405543021 (Phone)

HOME PAGE: http://www.veritas.fi

Antti Suhonen

Aalto University School of Business ( email )

P.O. Box 21210
AALTO, FI-00076

Do you have negative results from your research you’d like to share?

Paper statistics

Abstract Views
PlumX Metrics