RT Journal Article
SR Electronic
T1 Alternative Risk Premium Fund Analysis
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP jpm.2022.1.356
DO 10.3905/jpm.2022.1.356
A1 Stephen A. Gorman
A1 Frank J. Fabozzi
YR 2022
UL https://pm-research.com/content/early/2022/04/08/jpm.2022.1.356.abstract
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.