A Decade of Alternative Beta

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