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Multi Asset Alternative Beta

25th September 2015
by Martin Layton, Stephen Crewe

The authors analyse multi-asset trend, carry, and volatility returns, explaining why they exist, the benefits they confer to a traditional balanced portfolio, and the risks.

Alternative beta refers to risk factors that are available beyond traditional long only equity and fixed income investments. In this paper, we analyse multi-asset trend, carry, and volatility returns, explaining why they exist, the benefits they confer to a traditional balanced portfolio, and the risks. The benefits of combining the three strategies are explored, along with how they have fared recently in markets dominated by central bank intervention.

Our results show that adding multi-asset alternative beta strategies to a balanced portfolio, either singularly or as a group, leads to significant enhancements in terms of improved returns, lower volatility, and lower drawdowns.

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