Alternative risk premium (ARP) has experienced significant growth as an investment category in recent years. While considerable educational efforts accompanied this growth, gaps and misunderstandings persist. This paper provides a detailed definition of and contextualization of ARP as well as a comprehensive review of its academic roots, explaining that ARP sits at the confluence of decades of research on empirical anomalies, hedge fund replication, multi-factor models and data snooping.

中文翻译：

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ARP 的 ABC：了解替代风险溢价

近年来，另类风险溢价 (ARP) 作为一种投资类别经历了显着增长。尽管伴随着这种增长做出了大量的教育努力，但差距和误解仍然存在。本文提供了 ARP 的详细定义和背景，以及对其学术根源的全面回顾，解释了 ARP 是几十年来对经验异常、对冲基金复制、多因素模型和数据窥探的研究的汇合点。