When it comes to build a balanced cross asset portfolio of Risk Premia, one of the issues that needs to be addressed is the relative weight of each asset class

Let's consider a portfolio of 8 absolute return Risk Premia strategies, from different providers and asset classes, and having at least 3 years of track record.

Managing a portfolio of Risk Premia indices requires accurate tools and analytics to help investors define the exact weighting scheme suited to their needs. For