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Is YTD 2019 Performance of ARP Funds a Mirror Image of 2018 or an Altogether Different Story?


LFIS’ decrypts the strong rebound of early 2019 of ARP industry and explores the drivers behind factor investing performance.

The alternative risk premia (ARP) industry delivered robust performance in the first quarter of 2019 (“Q1”), exactly like equity markets. A legitimate question, therefore, is if there is a causal link. Beyond assessing the market neutrality of the ARP industry, it is also interesting to ask if the same factors that penalized the ARP industry in 2018 were drivers of the rebound in Q1. This study is therefore a continuation of the research paper published in earlier this year – titled “The common drivers behind alt risk premia’s difficult year”.