Alt risk premia chasing 'tail beta' – again

Quant strategies that failed in the coronavirus crash face a reckoning

When markets fell into a pandemic-provoked tailspin in March, investors in alternative risk premia strategies got an unwelcome reminder that ARP won’t always help in a crisis. These alternative strategies – intended to move independently of wider markets – fell as if they were tethered to plunging stocks. Some portfolios are down by over 15% year to date.

The crash exposed technical flaws in the way some strategies are constructed. In many, it has shown up so-called tail beta – vulnerability to

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here