Alternative risk premia are encountering growing interest from investors. The vast majority of the academic literature … has been focusing on describing the alternative risk premia (typically, momentum, carry and value strategies) individually …. In this article, we investigate the question of allocation across a diversified range of cross-asset alternative risk …

Several studies have found that the cross-section of stock returns reflects a risk premium for bearing downside risk …; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a novel … measure of downside risk, the ES-implied beta, to improve the prediction of the cross-section of asset returns. The ES …