Alpha Better
| Jul 26th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation | By: Alpha Male |
|
By: Xavier Zaegel, Deloitte (Luxembourg)
Published: Janaury 2006
Excerpt:
“…Yet despite these strategies’ theoretical appeal, many investors still struggle with implementation issues, partly because many of the critical elements for implementing the theory are not yet conveniently packaged or simply not widely available. For those who want to adopt a portable alpha strategy today, it is important to be aware of the implementation challenges:
- choosing an alpha generator,
- testing the pureness of the alpha,
- checking the alpha portability,
- finding an instrument to hedge the beta exposure,
- testing the correlation effect, and finally,
- performing some stress testing.
