Managing Hedge Fund Risk: The Quest for Institutional Quality
| Aug 19th, 2006 | Filed under: Hedge Fund Industry Trends | By: Alpha Male |
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By: Frederick Dopfel, Barclay’s Global Investors
Presentation to: Canadian Investment Review Risk Managamet Conference 2005
Although billed as a “hedge fund” presentation, these slides focus on institutional investment techniques – namely: portable alpha and active overlay strategies. The author argues that pure alpha has its own efficient frontier that amounts to an active “tail” that extends out of the normal efficient frontier. The presenation also makes passing reference to vectors in calculating the incremental volatility added by a pure alpha fund.
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