Alternative Risk Premia

A diversified strategy that seeks to capture a range of alternative risk premia

Overview

 

Strategy 

Synthetic exposure via a Total Return Swap to ARP strategies that fall within four categories: Carry, Momentum, Value and Volatility.

Co-managers Robert-Jan van der Mark , Artem Vdovenko, Tim Sterk
Investment Objective To achieve capital appreciation through exposure to the performance of risk premia over the medium-to-long term. Correlation of the strategy is expected to be low with respect to traditional asset classes.
Factors we seek to exploit
  • Carry - The expected return of an asset, assuming that its price does not change.
  • Momentum - The tendency of past winners and losers to continue their trend.
  • Value - Purchasing ‘cheap’ assets and selling ‘expensive’ assets according to defined metrics.
  • Volatility - The tendency that implied volatility is lower than realized volatility

Portfolio managers

Tim Sterk

Tim Sterk

Investment Manager, Multi-Asset Investing

Tim Sterk, CFA, is a portfolio manager in the multi-asset group, where his main responsibilities include managing the firm’s asset allocation fund range and our alternative risk premia strategy.

Manager profile
Artem Vdovenko

Artem Vdovenko

Portfolio Manager, Multi-Asset Investing

Artem Vdovenko, CQF, is a portfolio manager in the multi-asset group, where he is responsible for quantitative investment strategies and for managing our alternative risk premia strategy and the commodities strategy.

Manager profile
Robert-Jan van der Mark

Robert-Jan van der Mark

Investment Manager, Multi-Asset Investing

Robert-Jan van der Mark, CFA, is head of systematic investment strategies and a portfolio manager in the multi-asset group.

Manager profile