A Diversification too Far

20 Mars 2020

In the continuity of LFIS’ research paper ‘The Common Drivers behind Alt Risk Premia’s Difficult Year’, LFIS investigates the performance drivers of the ARP industry in 2019.

This research paper points to the ARP industry’s concentrated exposure to 4 strategies. LFIS’ PCA analysis of 2019 industry performance shows that almost 50% of 2019 industry performance can be traced to equity premia, short volatility strategies, cross-asset trend following and emerging currency carry trades.