Do Alternative Risk Premia Diversify? New Evidence for the Post-Pandemic Era
基于可投资产品的新数据集，研究了多资产另类风险溢价策略的风险和分散化特性，发现趋势策略和大宗商品集群在债券抛售时能提供更好的分散化效果。
The authors examine the risks and diversification properties of multi-asset alternative risk premia (ARP) strategies using a novel dataset based on investable ARP products. They first show based on a natural experiment that despite differences in scope and methodology, the data are consistent with historical evidence from alternative ARP benchmarks. The strategies fall broadly into offensive and defensive categories based on their equity market risk but differ in their exposures to the bond market. For several strategies, sensitivities to traditional assets change materially during market drawdowns, especially for bond market exposure. Trend strategies and the commodity cluster appear as the most promising candidates for portfolio diversification, as their bond betas generally reduce during bond sell-offs. Furthermore, the authors present novel findings on ARP performance links to real rates and breakeven inflation changes. The results underscore the need to analyze ARP strategies beyond linear and unconditional correlation measures.