Incorporating Risk Premia Mandates in a Strategic Allocation
last modified on 13 May 2019 UTC
categories: Indexes, Asset Allocation and Asset Liability Management, Equities, Research Paper, Indexes, AYLUR SUBRAMANIAN Raman, Case Study, general
Supported by strong academic and industry evidence that risk premia are primary drivers for long-term asset class performance, institutional investors have recently started to allocate strategic mandates to the growing array of investment strategy indices—also referred to as risk premia indices. In this research bulletin we illustrate the case of one US pension plan, Wyoming Retirement System (WRS), that incorporated risk premia allocations within in their strategic global equity allocation seeking to lower equity volatility and improve risk-adjusted returns.