By Roberto Croce, Head of Risk Parity and Alternative Risk Premia, Newton Investment Management North America LLC. : By Roberto Croce, Head of Risk Parity and Alternative Risk Premia, Newton Investment Management North America LLC. Risk premia are market neutral factor portfolios, where factors are quantifiable characteristics of securities that have historically been related to subsequent return. Top academic journals published papers documenting many hundreds of purportedly distinct factors. [i] If there really were so many market neutral factors with attractive risk-adjusted return, then it would be nearly impossible for a well-diversified basket of these investments to lose money over time.