求论文Can Alpha Be Captured by Risk Premia?

Can Alpha Be Captured by Risk Premia?

Jennifer Bender, P. Brett Hammond, and William Mok

To order reprints of this article, please contact Dewey Palmieri at dpalmieri@iijournals.com or 212-224-3675.

This article explores the roles of risk premia strategies in institutional equity portfolios, not only as potential replacements for existing passive beta investments, but for certain active mandates as well. The authors quantify the degree to which active equity manager returns (alpha) can be captured by using long-only factor portfolios, as reflected by the MSCI Risk Premia indices. Using 10 years of historical data from January 2002 to March 2012, the authors find that risk premia can account for a substantial portion of alpha: as much as 80%. They also propose a portfolio construction framework for incorporating active managers who deliver the highest alpha, once risk premia are accounted for.

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