NilssonHedge provides a Risk Premia Index, based on the average returns of the underlying managers. We do not provide backtracked returns nor do we allow for “instant track-records”. Managers are included that existed in the database, in December, the prior year.
Risk Premia strategies are typically based on academic insights into anomalies in financial markets. Often Systematically selected and traded, they offer a Beta measurement of several hedge fund strategies. Value, Growth, Momentum, Carry strategies tend to dominate this field.
In theory, a well-constructed Risk Premia portfolio should be able to deliver the same risk and return profile as a diversified Hedge Fund portfolio. In practice, only the risk profile has been delivered.
The index is based on managers that are part of the database as of the end of the prior year. We do not impose minimum requirements on track records or aum for this subset. Managers that drop out of the index are replaced with the average return of the index.
The purpose of the index is to track funds that are reporting data publically and may thus exclude certain managers that have chosen not to do so.
| AllianceBernstein | Alternative Risk Premia |
| Allianz Global Investors | Multi Asset Risk Premia |
| Allianz Global Investors | Volatility Strategy |
| AQR Capital Management | Style Premia |
| Blackrock | Style Advantage |
| BNP Theam | Absolute Alpha |
| BNP Theam | Quant Equity |
| Capital Fund Management | Diversified |
| Catalyst Funds | Systematic Alpha |
| Credit Suisse Asset Management | Liquid Alternative |
| DNB Asset Management | DNB Fund Multi Asset |
| Dynamic Beta Investments | Liquid Alternative (SEI) |
| Eraam | Premia |
| Eraam | Premia Low Vol |
| Estlander & Partners | Glacies |
| Fulcrum Asset Management | Fulcrum Risk Premia UCITS |
| GAM International Management | GAM Systematic Alternative Risk Premia |
| LFIS | Vision Premia |
| LGT Capital Partners | LGT Alpha Generix |
| Lombard Odier Investment Managers | Alternative Risk Premia |
| Lumyna | Merrill Lynch MCLX |
| Metzler | Alternative Multi Strategy |
| Neuberger Berman | US Equity Put Write |
| Nordea Asset Management | Nordea 1 Alpha 10 MA Fund |
| Nordea Asset Management | Nordea 1 Alpha 15 MA Fund |
| Nordea Asset Management | Nordea 1 Alpha 7 MA Fund |
| Schroders | Isf Alternative Risk |
| Systematica Investments | Alternative Risk Premia |
| Unigestion | Alternative Risk |
| Unigestion | Alternative Risk Premia Fund (JHancook) |
| Loomis Sayles | Alternative Risk Premia |
| AQR Capital Management | Alternative Risk Premia |
| AQR Capital Management | Style Premia Alternative |
| Credit Suisse Multialternative | Credit Suisse Multialternative |
| Goldman Sachs Management | Alternative Premia |
| Wells Fargo | Alternative Risk |
| Man AHL | Alternative Style Premia |
| Nomura | Fixed Income Risk Premia |
| Wells Fargo | Alternative Risk Premia |
| Mount Lucas Management Corporation | AlphaCentric Symmetry Strategy |
| Fortem Capital | Alternative Growth |
| Franklin K2 | Athena Risk |
| Quadriga | Stable Return |
| Allington | Liquid Alternatives Portfolio |