A Decade of Alternative Beta

45 Pages Posted: 12 Mar 2019

See all articles by Antti Suhonen

Antti Suhonen

Aalto University School of Business

Matthias Lennkh

Clear Alpha Limited

Date Written: February 13, 2019

Abstract

We provide first empirical evidence of the long-term realized performance of alternative beta strategies. Despite diversified risk premia portfolios achieving satisfactory Sharpe ratios of 0.80 – 1.07 over the past decade, we show that up to two thirds of the performance can be explained by exposure to traditional benchmarks. We find no evidence of positive alpha in the aggregate industry returns, and document a pattern of time-varying, asymmetric, and statistically significant betas to global equities and bonds. We highlight the sensitivity of the results to strategy fees and identify an economically meaningful survivorship bias in publicly available strategy data.

Keywords: Alternative Beta, Risk Premia, Factor Investing, Trading Strategies, Investment Strategies

JEL Classification: G11, G12, G14, G17, G23, G24

Suggested Citation

Suhonen, Antti and Lennkh, Matthias, A Decade of Alternative Beta (February 13, 2019). Available at SSRN: https://ssrn.com/abstract=3338694 or http://dx.doi.org/10.2139/ssrn.3338694

Antti Suhonen (Contact Author)

Aalto University School of Business ( email )

P.O. Box 21210
AALTO, FI-00076
Finland

Matthias Lennkh

Clear Alpha Limited ( email )

Orega Hammersmith
3 Shortlands
London, W6 8DA
United Kingdom

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