http://allaboutalpha.com/blog/2006/11/14/gtaa-morphs-into-hedge-fund-space/ 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/2006/11/14/gtaa-morphs-into-hedge-fund-space/comment-page-1/#comment-3144 All About Alpha » Blog Archives » Janus: The Roman god of alpha/beta separation? Mon, 26 Mar 2007 02:35:52 +0000 http://allaboutalpha.com/blog/2006/11/14/gtaa-morphs-into-hedge-fund-space/#comment-3144 [...] As you can see, this is really a half-step toward a pure alpha/beta approach.  For example, the “Alpha” bucket actually contains a lot of beta simply because it includes active long-only managers.  The portfolio construction process would therefore need to under-invest in “core” or risk having too much beta.  It seems the “alternative” bucket can better be described as “alpha”.  “Tactical” can be either high-alpha or low-alpha depending on the net market exposure.  GTAA managers who have parceled off their active overlays into global macro-funds would be the first to say that trading beta can produce pure alpha as long as the portfolio remains market-neutral. Â Ã‚  [...] [...] As you can see, this is really a half-step toward a pure alpha/beta approach.  For example, the “Alpha” bucket actually contains a lot of beta simply because it includes active long-only managers.  The portfolio construction process would therefore need to under-invest in “core” or risk having too much beta.  It seems the “alternative” bucket can better be described as “alpha”.  “Tactical” can be either high-alpha or low-alpha depending on the net market exposure.  GTAA managers who have parceled off their active overlays into global macro-funds would be the first to say that trading beta can produce pure alpha as long as the portfolio remains market-neutral. Â Ã‚  [...]

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