A Decade of Alternative Beta
45 Pages Posted: 12 Mar 2019
Date Written: February 13, 2019
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: Suggested Citation