Today, more than 90% of global investable assets exhibit a meaningful correlation with the S&P 500, compared with just 26% in 1995. Where the S&P 500 goes, increasingly, so does the rest of the portfolio. The portfolio construction challenge is no longer simply owning different assets. Many of the traditional sources of diversification – including bonds, private markets and hedge funds – have become increasingly caught up in the same market forces. This makes alternative risk premia crucial. Unlike traditional market beta, they arise from structural and behavioural inefficien...