PT  - JOURNAL ARTICLE
AU  - Stephen A. Gorman
AU  - Frank J. Fabozzi
TI  - Alternative Risk Premium Fund Analysis
AID  - 10.3905/jpm.2022.1.356
DP  - 2022 Apr 09
TA  - The Journal of Portfolio Management
PG  - jpm.2022.1.356
4099  - https://pm-research.com/content/early/2022/04/08/jpm.2022.1.356.short
4100  - https://pm-research.com/content/early/2022/04/08/jpm.2022.1.356.full
AB  - Diversified alternative risk premium (ARP) funds significantly underperformed expectations between 2018 and 2020. In this article, the authors use a proprietary family of statistical benchmarks to identify the principal drivers of this outcome and to highlight the important nuances accompanying performance evaluation in the ARP space.