Portfolio of Risk Premia: A New Approach to Diversification

categories: Indexes, Portfolio Management Analytics, Investing (Investment Management), RMA, Multi-Asset Class, Research Paper, NIELSEN Frank, STEFEK Dan, general

Traditional asset allocation approaches have not provided the full potential of diversification. Here, we introduce a different approach and look at structuring portfolios using risk premia within the traditional asset classes or from systematic trading strategies. We confirm the potential benefits of such an approach by comparing a typical 60/40 equity/fixed income allocation with an equal weighted allocation across eleven risk premia.

Download file

RI_Risk_Premia.pdf