Risk premia harvesting is an investment strategy that involves systematically capturing the returns associated with specific risk factors or “premia” that are believed to generate excess returns over the long term. These risk factors can include factors such as value, momentum, quality, size, and low volatility.
The strategy involves investing in a diversified portfolio of assets that have exposure to these specific risk factors. By systematically harvesting the returns associated with these factors over time, the strategy seeks to generate excess returns compared to a traditional market-cap-weighted portfolio.