Can Alpha Be Captured by Risk Premia?
Please join us for a webinar where we discuss the roles of risk premia (alternative beta) strategies in the institutional portfolio not only as potential replacements for existing passive beta investments but for certain active mandates as well. We explore the degree to which active manager returns (alpha) can be captured through MSCI Risk Premia Indices.
Finally, we propose a portfolio construction framework for incorporating active managers who deliver the highest alpha, once risk premia have been accounted for. We show that using combinations of these "pure alpha" managers with passive portfolios tracking MSCI Risk Premia Indices have historically produced stronger performance results in a cost efficient manner.
- Historical performance characteristics of MSCI Risk Premia Indices
- How are risk premia indices similar to active funds?
- Can risk premia capture alpha?
- Constructing portfolios of risk premia and active funds