Incorporating Alternative Risk Premia into Balanced Portfolios: Is there any added value?

Francesc Naya, Nils S. Tuchschmid, Jahja Rrustemi
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Abstract

Evaluating 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 alternative assets. We study whether the inclusion of ARP products adds value to two well-known benchmarks of balanced allocations: the 60/40 world equity/bond portfolio and the Pictet LPP 2015-60 index. Taking a sample of live ARP products from 2016 to May 2021, we find that a systematic allocation to ARP with no equity exposure improves risk-adjusted performance, due to risk reduction, even though it causes a small drag in long-term return. This impact is similar to the one many investors seek in Trend-Following funds or Tail-Hedge products, for which we compare results. The drag in performance disappears if one can dynamically manage the inclusion of ARP into the balanced portfolios, even though market timing ability is at the very least a rare asset.
将替代风险溢价纳入平衡投资组合:是否有任何附加价值?
将另类风险溢价产品作为独立投资进行评估,不足以得出这些产品是否为机构投资者增加价值的结论,机构投资者的投资组合主要由多元化的股票和债券配置组成,通常较小的投资组合是另类资产。我们研究了ARP产品的加入是否会增加两个著名的均衡配置基准的价值:60/40世界股票/债券组合和Pictet LPP 2015-60指数。以2016年至2021年5月的实时ARP产品为样本,我们发现,由于风险降低,即使对长期回报造成小幅拖累,但系统配置无股权敞口的ARP产品可以提高风险调整后的绩效。这种影响类似于许多投资者在趋势跟踪基金或尾部对冲产品中寻求的影响,我们对此进行了比较。如果一个人能够动态地管理将ARP纳入平衡的投资组合,那么对业绩的拖累就会消失,尽管市场择时能力至少是一种罕见的资产。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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