The ABC’s of the ARP: understanding alternative risk premium

Stephen A. Gorman and Frank J. Fabozzi ()
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Stephen A. Gorman: Wellington Management
Frank J. Fabozzi: EDHEC Business School

Journal of Asset Management, 2021, vol. 22, issue 6, No 2, 404 pages

Abstract: Abstract Alternative risk premium (ARP) has experienced significant growth as an investment category in recent years. While considerable educational efforts accompanied this growth, gaps and misunderstandings persist. This paper provides a detailed definition of and contextualization of ARP as well as a comprehensive review of its academic roots, explaining that ARP sits at the confluence of decades of research on empirical anomalies, hedge fund replication, multi-factor models and data snooping.

Keywords: Alternative risk premium; Alpha; Beta; Hedge fund style; Smart beta (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1057/s41260-021-00231-3

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