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Authors: Berouz Fatemi 1 ; Alireza Kobravi 1 ; Duncan Larraz 1 ; Francesc Naya 2 and Nils Tuchschmid 2

Affiliations: 1 Investcorp-Tages, 39 St James’s Street, SW1A 1JD London, U.K. ; 2 Haute Ecole de Gestion de Fribourg, HES-SO, University of Applied Sciences and Arts Western Switzerland, Chemin du Musée 4, CH-1700, Fribourg, Switzerland

Keyword(s): Alternative Risk Premia, Unsupervised Clustering, Portfolio Management, Alternative Investments.

Abstract: Managing alternative risk premia (ARP) portfolios is a challenging task, due to the complexities of these types of investments. In this article, we present a purely quantitative approach that relies on performance persistence among ARP strategies while ensuring diversification by classifying the ARP indices using unsupervised hierarchical clustering. This cluster-momentum portfolio shows a superior performance when compared to a set of internally built benchmarks and also of existing ARP asset manager funds. It seems that persistence in performance can be capitalized in ARP, while the clustering technique achieves its objective of risk-reduction due to portfolio diversification. Moreover, the cluster-momentum portfolio appears to be resilient to parameter modifications.

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Paper citation in several formats:
Fatemi, B., Kobravi, A., Larraz, D., Naya, F., Tuchschmid and N. (2025). Introducing the Cluster-Momentum Portfolio in Alternative Risk Premia Investing. In Proceedings of the 7th International Conference on Finance, Economics, Management and IT Business - FEMIB; ISBN 978-989-758-748-1; ISSN 2184-5891, SciTePress, pages 175-182. DOI: 10.5220/0013203400003956

@conference{femib25,
author={Berouz Fatemi and Alireza Kobravi and Duncan Larraz and Francesc Naya and Nils Tuchschmid},
title={Introducing the Cluster-Momentum Portfolio in Alternative Risk Premia Investing},
booktitle={Proceedings of the 7th International Conference on Finance, Economics, Management and IT Business - FEMIB},
year={2025},
pages={175-182},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0013203400003956},
isbn={978-989-758-748-1},
issn={2184-5891},
}

TY - CONF

JO - Proceedings of the 7th International Conference on Finance, Economics, Management and IT Business - FEMIB
TI - Introducing the Cluster-Momentum Portfolio in Alternative Risk Premia Investing
SN - 978-989-758-748-1
IS - 2184-5891
AU - Fatemi, B.
AU - Kobravi, A.
AU - Larraz, D.
AU - Naya, F.
AU - Tuchschmid, N.
PY - 2025
SP - 175
EP - 182
DO - 10.5220/0013203400003956
PB - SciTePress

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