%0 Journal Article %A Stephen A. Gorman %A Frank J. Fabozzi %T The Data Dilemma in Alternative Risk Premium: Why Is a Benchmark So Elusive? %D 2022 %R 10.3905/jpm.2022.1.353 %J The Journal of Portfolio Management %P jpm.2022.1.353 %X Alternative risk premium (ARP) is an investment category consisting of a wide range of rules-based trading strategies targeting returns representing either compensation for bearing risk or behavioral biases among market participants. These strategies span all major asset classes, trading equity indexes, government bonds, currencies, commodities, credit spreads, volatility, and individual stocks. ARP constituents generally target the following three characteristics: (1) having a clear economic rationale supported by empirical research, (2) having a persistent risk-adjusted return distinct from that of traditional beta, and (3) being liquid (scalable), rules-based, and transparent, with a predominantly long–short trading profile. Assets under management in ARP have increased significantly over the past decade, but benchmarks remain elusive, making performance evaluation challenging. Focus on this topic has intensified with recent disappointing performance. This article introduces comprehensive categorical and statistical families of ARP benchmarks, using a proprietary database of tradable bank indexes. The exercise includes a detailed and overdue discussion of the many nuances of ARP data, including classification, curation, and interpretation. These benchmarks mark an important foundational milestone for analysis in this evolving space. %U https://jpm.pm-research.com/content/iijpormgmt/early/2022/03/15/jpm.2022.1.353.full.pdf