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The Columbia Alternative Beta Strategy is a multi-strategy alternative beta portfolio that manages exposures to the systemic risk premia (or sources of return) that are embedded in capital markets. This is accomplished by creating a portfolio of systematically constructed indices designed to capture returns from market structure (style, liquidity, momentum, carry, curve, volatility, etc.) and asset classes. Investments are made across five major asset classes (equity, fixed income, credit, currency, commodities) and all major investment styles.

The strategy may be employed by investors seeking to replace their existing hedge fund exposures or may be used as an overlay on an existing portfolio to diversify existing multi-asset exposures.

We construct the portfolio using a combination of risk parity, risk targeting and tactical asset management. Risk premia considered for inclusion must demonstrate that they have been academically-verified, offer persistent, long-term performance across varying asset classes and market environments, have a long history of transparent and verifiable data, and are accessible/liquid with low counterparty risk.

Distinguishing Features

  • Portfolio management team resides within the over 20-person global asset allocation team, providing the foundation for an active “macro” approach to alternative beta management
  • Research team dedicated to analyzing alternative beta algorithms and factor exposures, providing the foundation for a “micro” approach to alternative beta management
  • Proprietary risk parity approach to portfolio construction