SBAI » Alternative Risk Premia

Bringing managers and investors together to set standards for the alternative investment industry

Alternative Risk Premia

Alternative risk premia (aka dynamic beta) strategies follow a mechanistic, rule-based implementation based on well understood (and academically documented) underlying factors. Institutional investors can access these strategies through managed funds, broker-dealer products or in-house implementation (trading desk). The systematic nature of these strategies requires that institutional investors conduct dedicated due diligence on the robustness of the strategy implementation.

  • The SBAI Alternative Risk Premia Due Diligence Questionnaire (DDQ) for Broker-Dealer Products assists institutional investors and investment managers in their due diligence of broker-dealers through a standardised set of questions.
  • The Backtesting Memo focuses on the assessment of the strategy development process, identifying the key areas investors need to assess in their due diligence, including statistical overfitting bias, accuracy of assumptions and length of backtesting time series.
  • The Broker-Dealer Practices Memo sets out the key distinctions between managed funds and broker-dealer products as ways to access risk premia strategies.

Press release (12-2020)

Press release (07-2020)