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The ABC’s of the alternative risk premium: academic roots

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Abstract

This paper is the second of a two-part series that provides essential context for any serious study of alternative risk premium (ARP) strategies. Practitioners uniformly emphasize the academic lineage of ARP strategies, regularly citing seminal papers. However, a single, comprehensive review of the copious research underpinning the category does not exist. This paper provides a comprehensive review of ARP’s academic roots, explaining that it sits at the confluence of decades of research on empirical anomalies, hedge fund replication, multi-factor models, and data snooping.

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Gorman, S.A., Fabozzi, F.J. The ABC’s of the alternative risk premium: academic roots. J Asset Manag 22, 405–436 (2021). https://doi.org/10.1057/s41260-021-00234-0

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