威灵顿管理公司（Wellington Management Company）是一家私人合伙公司，代客户管理着9,690亿美元资产，为超过55个国家的约 2,150 家机构担任投资顾问 。 威灵顿既不是经纪公司，也不是贷款机构、承销商。擅长的领域是投资管理– 从全球股票和固定收益产品到汇率和商品，不一而足。 2019年11月16日，胡润研究院发布《2019胡润全球独角兽活跃投资机构百强榜》，威灵顿排名第29位。
Alternative risk premium (ARP) comprises a wide range of rules-based trading strategies spanning all major asset classes. Its unique nature creates ongoing benchmark challenges, in terms of approach and data availability. We focus on two strategies—cross-sectional value for US stocks and equity time-series trend—highlighting the difficulties in assessing the performance of ARP fund managers. At the heart of the matter is specification noise—potentially material performance dispersion among equally defensible benchmark methodologies. The dearth of lengthy return series is an exacerbating factor. We address practical consequences of the absence of de facto benchmarks, highlight the data void yet to be filled, and propose a framework for approaching performance evaluation of ARP-fund managers that distinguishes expectation, surprise, style, implementation and allocation contributions.
This article is a synopsis of PMR's "Multi-Asset Strategies" webinar held on October 6, 2022. The webinar is part of PMR's quarterly Theory Meets Practice webinar series. Pre sented in a Q&A format, this summary article provides the latest thinking about multi-asset strategies. The moderator for the webinar was Frank J. Fabozzi, and the four expert panelists were Stefano Cavaglia, Stephen A. Gorman, Brian Jacobsen, and Eugene Podkaminer.
Alternative risk premium (ARP) is an investment category consisting of a wide range of rules-based trading strategies targeting returns representing either compensation for bearing risk or behavioral biases among market participants. These strategies span all major asset classes, trading equity indexes, government bonds, currencies, commodities, credit spreads, volatility, and individual stocks. ARP constituents generally target the following three characteristics: (1) having a clear economic rationale supported by empirical research, (2) having a persistent risk-adjusted return distinct from that of traditional beta, and (3) being liquid (scalable), rules-based, and transparent, with a predominantly long–short trading profile. Assets under management in ARP have increased significantly over the past decade, but benchmarks remain elusive, making performance evaluation challenging. Focus on this topic has intensified with recent disappointing performance. This article introduces comprehensive categorical and statistical families of ARP benchmarks, using a proprietary database of tradable bank indexes. The exercise includes a detailed and overdue discussion of the many nuances of ARP data, including classification, curation, and interpretation. These benchmarks mark an important foundational milestone for analysis in this evolving space.
Diversified alternative risk premium (ARP) portfolios seek to generate absolute returns using a broad range of systematic trading strategies incorporating multiple investment styles covering all the major asset classes. Against a backdrop of low developed market bond yields and fully valued equities, ARP offered a reasonably priced combination of low correlation with traditional asset classes, attractive expected Sharpe ratio, and reasonable liquidity. Following a period of rapid adoption, disappointing performance over the 2018–2020 period has produced considerable soul searching regarding the role of ARP in institutional portfolios. Should these strategies remain a candidate for multi-asset portfolios, or is the experience of the past years a death knell regarding their usefulness? To examine this very topical issue, in this article, the authors use a unique array of benchmarks leveraging a proprietary database of 2,000 tradable bank indexes. They evaluate whether recent returns are consistent with long-term expectations. In the process, they consider the extent to which unique environmental headwinds and a lack of true breadth across ARP strategies contributed to this outcome.
Diversified alternative risk premium (ARP) funds significantly underperformed expectations between 2018 and 2020. In this article, the authors use a proprietary family of statistical benchmarks to identify the principal drivers of this outcome and to highlight the important nuances accompanying performance evaluation in the ARP space.
