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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 report, 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. 

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