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Risk Premia Index

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.

AllianceBernsteinAlternative Risk Premia
Allianz Global InvestorsMulti Asset Risk Premia
Allianz Global InvestorsVolatility Strategy
AQR Capital ManagementStyle Premia
BlackrockStyle Advantage
BNP TheamAbsolute Alpha
BNP TheamQuant Equity
Capital Fund ManagementDiversified
Catalyst FundsSystematic Alpha
Credit Suisse Asset ManagementLiquid Alternative
DNB Asset ManagementDNB Fund Multi Asset
Dynamic Beta InvestmentsLiquid Alternative (SEI)
EraamPremia Low Vol
Estlander & PartnersGlacies
Fulcrum Asset ManagementFulcrum Risk Premia UCITS
GAM International ManagementGAM Systematic Alternative Risk Premia
LFISVision Premia
LGT Capital PartnersLGT Alpha Generix
Lombard Odier Investment ManagersAlternative Risk Premia
LumynaMerrill Lynch MCLX
MetzlerAlternative Multi Strategy
Neuberger BermanUS Equity Put Write
Nordea Asset ManagementNordea 1  Alpha 10 MA Fund
Nordea Asset ManagementNordea 1  Alpha 15 MA Fund
Nordea Asset ManagementNordea 1  Alpha 7 MA Fund
SchrodersIsf Alternative Risk
Systematica InvestmentsAlternative Risk Premia
UnigestionAlternative Risk
UnigestionAlternative Risk Premia Fund (JHancook)
Loomis SaylesAlternative Risk Premia
AQR Capital ManagementAlternative Risk Premia
AQR Capital ManagementStyle Premia Alternative
Credit Suisse MultialternativeCredit Suisse Multialternative
Goldman Sachs ManagementAlternative Premia
Wells FargoAlternative Risk
Man AHLAlternative Style Premia
NomuraFixed Income Risk Premia
Wells FargoAlternative Risk Premia
Mount Lucas Management CorporationAlphaCentric Symmetry Strategy
Fortem CapitalAlternative Growth
Franklin K2Athena Risk
QuadrigaStable Return
AllingtonLiquid Alternatives Portfolio