RT Journal Article
SR Electronic
T1 Practical Applications of How Different Are Alternative Beta Strategies?
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 4
DO 10.3905/pa.2016.4.2.169
VO 4
IS 2
A1 Carmine de Franco
A1 Bruno Monnier
A1 Johann Nicolle
A1 Ksenya Rulik
A1 Howard Moore
YR 2016
UL https://pm-research.com/content/4/2/1.4.abstract
AB How Different Are Alternative Beta Strategies? Carmine de Franco Bruno Monnier Johann Nicolle Ksenya Rulik Alternative beta equity strategies can offer reduced risk and enhanced investment returns compared with the overall market; however, no single strategy, or type of strategy, is proven to outperform in all market conditions. How does an investor choosing among the individual alternative beta strategies and their combinations to best capture the potential benefits? Carmine de Franco and his colleagues Bruno Monnier , Johann Nicolle and Ksenya Rulik of Ossiam set out to answer this question in How Different Are Alternative Beta Strategies? They devised a quantitative approach to compare the different alternative beta strategies based on statistical relationships among their returns. They created clusters of alternative beta portfolios based on their statistical return characteristics and built multi-strategy, multi-factor portfolios based on the clusters, rather than individual investment objectives. By using these clusters, they were able to achieve superior risk and return results.