Alternative Risk Premia investment products have attracted substantial interest of institutional investors in the recent decade, as they are supposed to provide risk premia other than traditional equity and bond premia in which investors already have exposure to. This article reviews the...

This study aims at analyzing the ability of managers of Alternative Risk Premia (ARP) portfolios to outperform benchmarks and to deliver alphas. Using a sample of more than 200 ARP indices, we first distinguish performance between allocation strategy and picking ability. Our first results show...