PT  - JOURNAL ARTICLE
AU  - Francesc Naya
AU  - Nils S. Tuchschmid
TI  - Practical Applications of Alternative Risk Premia: <em>Is the Selection Process Important?</em>
AID  - 10.3905/pa.8.2.392
DP  - 2020 Oct 31
TA  - Practical Applications
PG  - 1--4
VI  - 8
IP  - 2
4099  - https://pm-research.com/content/8/2/1.7.short
4100  - https://pm-research.com/content/8/2/1.7.full
AB  - In Alternative Risk Premia: Is the Selection Process Important?, from the Summer 2019 issue of The Journal of Wealth Management, authors Francesc Naya (of BDK Financial Group in Lisbon, Portugal) and Nils S. Tuchschmid (of the University of Applied Sciences and Arts, in Fribourg, Switzerland) examine the necessity of having a due diligence process for alternative risk premia decisions. The authors first analyze alternative risk premia indexes in categories used by providers to determine differences in performance. They find significant degrees of heterogeneity in most indexes that a priori capture the same risk premium, indicating that results are highly provider-dependent, and thus that the selection of a provider is important. The authors also determine the presence and extent of overfitting bias in the alternative risk premia industry. TOPICS: Analysis of individual factors/risk premia, performance measurement, simulations