Highlights

  • A conceptual model for risk premia strategies, focusing on the notion of a continuum running from "pure alpha" to "pure beta" and where on this continuum a given manager or investor would like to engage with the markets.
  • The author suggests that a risk premium that is nearly completely unknown may be a source of alpha, which then becomes more risk premia-like as it gains market acceptance.
  • Investment managers may want to consider how to adapt – researching and migrating to new, less-commoditized strategies over time.

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