Skip to main content

Main menu

  • Home
  • Latest Articles
  • Past Issues
  • About PA
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • Collections
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
Practical Applications
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • Collections
  • Sample our Content
  • Request a Demo
  • Log in
Practical Applications

Practical Applications

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Latest Articles
  • Past Issues
  • About PA
  • LinkedIn
  • Twitter

Practical Applications of The Tortoise and the Hare: Risk Premium versus Alternative Asset Portfolios

Ron Bird, Harry Liem, Susan Thorp and Gauri Goyal
Practical Applications Summer 2014, 2 (1) DOI: https://doi.org/10.3905/pa.2014.2.1.054
Ron Bird
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Harry Liem
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Susan Thorp
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Gauri Goyal
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Report
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

The Tortoise and the Hare: Risk Premium versus Alternative Asset Portfolios Ron Bird Harry Liem Susan Thorp

Abstract

While alternative investments reduce portfolio risk, implementing risk premia strategies using liquid futures, ETFs and/or other low-cost products can offer superior diversification. The authors of this research compare the risk-reduction benefits of alternative investments and risk premia strategies.

In The Tortoise and the Hare: Risk Premium versus Alternative Asset Portfolios , co-authors Ron Bird , Harry Liem and Susan Thorp (from the research team at the Paul Woolley Centre at the University of Technology, Sydney) examine whether risk premia (the tortoise) actually offer improved diversification benefits versus alternative investments (the hare), using equal-weighted and least-risk-optimized portfolios.

“We know that alternative investments are a hot product for institutional investors,… but are they as good as a lot of people would have us believe?” asks Bird.

The analysis shows the tortoise has the advantage. The study constructs efficient frontiers for the two types of portfolios and finds that, overall, risk premia portfolios outperformed pure alternative investments. Some risk-premia strategies generate lower returns, but with much lower standard deviations, offering higher Sharpe ratios in most cases.

TOPICS: Portfolio theory, analysis of individual factors/risk premia, tail risks

  • The content is made available for your general information and use and is not intended for trading or other specific investment advice purposes or to address your particular requirements. We do not represent or endorse the accuracy or reliability of any advice, opinion, statement, or other information provided any user of this publication. Reliance upon any opinion, advice, statement, or other information shall also be at your own risk. Independent advice should be obtained before making any such decision. Any arrangements made between you and any third party named in this publication are at your sole risk.
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

Practical Applications: 2 (1)
Practical Applications
Vol. 2, Issue 1
Summer 2014
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on Practical Applications.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Practical Applications of The Tortoise and the Hare: Risk Premium versus Alternative Asset Portfolios
(Your Name) has sent you a message from Practical Applications
(Your Name) thought you would like to see the Practical Applications web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Practical Applications of The Tortoise and the Hare: Risk Premium versus Alternative Asset Portfolios
Ron Bird, Harry Liem, Susan Thorp
Practical Applications Jul 2014, 2 (1) DOI: 10.3905/pa.2014.2.1.054

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Practical Applications of The Tortoise and the Hare: Risk Premium versus Alternative Asset Portfolios
Ron Bird, Harry Liem, Susan Thorp
Practical Applications Jul 2014, 2 (1) DOI: 10.3905/pa.2014.2.1.054
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • Overview
    • Practical Applications
    • Key Definitions
    • Practical Applications Report
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
iprjournals@pageantmedia.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN Print: 2329-0196 | E-ISSN: 2329-020X

  • Site Map
  • Terms & Conditions
  • Cookies
  • Privacy Policy