http://allaboutalpha.com/blog/2006/07/06/canadian-pension-plan-active-overlay-program/ A finance blog about hedge funds, portable alpha and alternative investing. Thu, 09 Feb 2012 19:03:08 +0000 http://wordpress.org/?v=abc hourly 1 http://allaboutalpha.com/blog/2006/07/06/canadian-pension-plan-active-overlay-program/comment-page-1/#comment-11249 allaboutalpha.com: Welcome to AllAboutAlpha.com Wed, 13 Jun 2007 01:49:59 +0000 http://allaboutalpha.com/blog/?p=78#comment-11249 [...] AllAboutAlpha contains only one posting (out of 300+) on the topic.  In 2004, the Canada Pension Plan began using an active overlay strategy that amounted to synthetically shorting against their $80 billion passive portfolio.  The CPP awarded four $500m “notional mandates” to manage in a market neutral (read: all alpha) strategy.  But that was three years ago.  Since then, no one seems to have seen much of the term “overlay”.  [...] [...] AllAboutAlpha contains only one posting (out of 300+) on the topic.  In 2004, the Canada Pension Plan began using an active overlay strategy that amounted to synthetically shorting against their $80 billion passive portfolio.  The CPP awarded four $500m “notional mandates” to manage in a market neutral (read: all alpha) strategy.  But that was three years ago.  Since then, no one seems to have seen much of the term “overlay”.  [...]

]]> http://allaboutalpha.com/blog/2006/07/06/canadian-pension-plan-active-overlay-program/comment-page-1/#comment-46 All About Alpha » Blog Archives » European Pension Plans Teach Clinic on Alpha-Centric Investing Tue, 17 Oct 2006 21:58:07 +0000 http://allaboutalpha.com/blog/?p=78#comment-46 [...] As Lueb points out, the separation of alpha and beta needn’t be physical.  Alpha can be generated from a notional amount of assets (similar to the Canada Pension Plan overlay program).  “It’s hard to say how much assets are invested in alpha because we look at it in terms of value at risk. That’s one of the benefits of being able to decouple them (alpha and beta), as you don’t necessarily need underlying assets to generate alpha,” said Mr. Lueb.” [...] [...] As Lueb points out, the separation of alpha and beta needn’t be physical.  Alpha can be generated from a notional amount of assets (similar to the Canada Pension Plan overlay program).  “It’s hard to say how much assets are invested in alpha because we look at it in terms of value at risk. That’s one of the benefits of being able to decouple them (alpha and beta), as you don’t necessarily need underlying assets to generate alpha,” said Mr. Lueb.” [...]

]]> http://allaboutalpha.com/blog/2006/07/06/canadian-pension-plan-active-overlay-program/comment-page-1/#comment-25 All About Alpha » Blog Archives » Overlay Speak Thu, 28 Sep 2006 13:53:29 +0000 http://allaboutalpha.com/blog/?p=78#comment-25 [...] While this article makes reference to market neutral index-overlays, it does not specifically discuss market-neutral equity overlays such as the one used by the Canadian Pension Plan (see post).  Still, concepts such as the “notional amount” are critical to both forms of overlays… “One common way to curtail exposures involves the use of acceptable over- and underweights (ranges) applied to an agreed-upon notional amount. The notional amount of the mandate together with other risk control parameters will determine the size of positions the manager can take. The notional amount could be set equal to the total plan value of $2,000 million. Alternatively, it would be perfectly reasonable if the overlay manager agreed to manage to a predetermined notional amount, of for example, $500 million, supported by $50 million in cash transferred.” [...] [...] While this article makes reference to market neutral index-overlays, it does not specifically discuss market-neutral equity overlays such as the one used by the Canadian Pension Plan (see post).  Still, concepts such as the “notional amount” are critical to both forms of overlays… “One common way to curtail exposures involves the use of acceptable over- and underweights (ranges) applied to an agreed-upon notional amount. The notional amount of the mandate together with other risk control parameters will determine the size of positions the manager can take. The notional amount could be set equal to the total plan value of $2,000 million. Alternatively, it would be perfectly reasonable if the overlay manager agreed to manage to a predetermined notional amount, of for example, $500 million, supported by $50 million in cash transferred.” [...]

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