No Love for Portable Alpha
| Nov 13th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation | By: Alpha Male |
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By: Vince Calio, Pensions & Investments
Published: October 30, 2006
Okay, so not everyone is a huge fan of portable alpha. Can you blame them after all the hype?
But as the recent Goldman Sachs Annual client pow-wow illustrates, there remains much debate over basic definitions. According to Pensions & Investments, endowments are particularly skeptical of portable alpha. They argue that their long time horizons and lack of liquidity requirements mean they can plough all they want into pure alpha strategies without concern for back-filling the beta:
“‘Actually, one of the first things we did when I got here a year ago was to get rid of our portable alpha manager,’ said David Russ, chief investment officer of the $3 billion endowment fund of Dartmouth College…’Our job is to control costs and look for alpha. We don’t have the liquidity requirements of a pension plan and therefore, we can afford to make direct investments in the higher returning asset classes.’ He declined to name the manager.
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