Evaluating the performance of Alternative Risk Premia products as standalone investments is not sufficient to conclude whether these products add value to institutional investors, whose portfolios are largely composed of well-diversified equity and bond allocations, and usually smaller ones to...

This study aims at analyzing the ability of managers of Alternative Risk Premia (ARP) portfolios to outperform benchmarks and to deliver alphas. Using a sample of more than 200 ARP indices, we first distinguish performance between allocation strategy and picking ability. Our first results show...

Alternative Risk Premia investment products have attracted substantial interest of institutional investors in the recent decade, as they are supposed to provide risk premia other than traditional equity and bond premia in which investors already have exposure to. This article reviews the...

This paper proposes a new framework for the calculation of liquidity adjusted value at risk, or LVaR. The model presented in this paper is extended from Almgren and Chriss's mean-variance optimal trading approach (1999 and 2000). Contrary to Almgren and Chriss's model, we express price...

Alternative Risk Premia (ARP) are rule-based strategies. They should reward investors exposed to non-traditional systematic risk factors. Yet, allocation to ARP is not straightforward. First, there are many ARP indices proposed by different providers that claim to capture the same underlying...

Several hedge fund replication products have been launched over the past three to four years. Consequently a substantial number of products have built up a sufficient track record for performance analysis. This survey investigates the performance of 20 replication funds or indexes over the...

This paper proposes a Stochastic Programming (SP) approach for the calculation of the liquidity-adjusted Value-at-Risk (LVaR). The model presented in this paper offers an alternative to Almgren and Chriss’s mean-variance approach (1999 and 2000). In this research, a two-stage stochastic...

The problem we address here is the replication of a bond benchmark when only a fraction of the portfolio is invested for the replication. Our methodology is based on a minimization of the tracking error subject to a set of constraints, namely (1) the fraction invested for the replication, (2) a...