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In CAPM the risk premium is measured as beta times the expected return on the market minus the risk-free rate. The risk premium of a security is a function of the risk premium on the market, Rm – Rf, and varies directly with the level of beta.
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The risk premium is the excess return above the risk-free rate that investors require as compensation for the higher uncertainty associated with risky assets. The five main risks that comprise the risk premium are business risk, financial risk, liquidity risk, exchange-rate risk, and country-specific risk.
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A long-only risk premia strategy, often in the form of smart beta products, involves buying and holding a fund with the expectation that it will deliver better returns than the benchmark against which it is measured. The benchmark index offers beta, or broad equity market exposure.
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How To Calculate? Market Risk Premium = Rm – Rf Expected Return = rf + Beta (rm – rf) Risk Premium = ra (100,000 x 18 / 100) – rf (100,000 x 3 / 100) = 18,000 – 3000 = 15,000 US$
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Alternative risk premia (“ARP”) strategies are a category of hedge fund strategies that aim to systematically isolate and harvest excess returns from exposure to specific risk factors, or returns arising from behavioral or structural market anomalies.
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Let's assume the risk-free rate is 2%, which means a risk-free U.S. treasury bill offers an annual return of 2%. If the stock of a public company has delivered an annual return of 10%, the risk premium for that stock would be 8%—or the difference between the risk-free rate and the stock's annual return.
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As Lindahl explains, “the difference between alternative risk premia and smart beta is that the latter is a long-only strategy, where the main risk exposure you get is traditional equity risk premia, and then factor premia [or alternative risk premia]on top of that.” “With ARP, the aim is usually to avoid traditional ...
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Subscribe to our Newsletter. Risk premia strategies target absolute returns through long-short positions across various factors and asset classes. As such, these rules-based strategies in many ways resemble and rival hedge funds, though risk premia products tend to be much cheaper and more transparent than hedge funds.
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