I know what you did last summer…you wrote a paper lambasting portable alpha
| Dec 13th, 2006 | Filed under: Academic Research, Portable Alpha & Alpha/Beta Separation | By: Alpha Male |
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“Inefficiencies of Portable Alpha Models”
By: Eric Murphy, Princeton University
Published: July 29, 2006
Ah, those hazy lazy days of your college summers. Summer jobs, parties, weekends at the beach, writing portable alpha research papers.
Princeton undergraduate student Eric Murphy did just this, finishing off his clearly worded, logical argument against portable alpha in the dog days of last summer. In the paper, he makes two central arguments:
“…the portable alpha technique is nothing more than borrowing money and investing in hedge funds or funds of funds.”
“…the practice of separating alpha, and making it portable, creates further inefficiencies when the investor holds a diversified portfolio.”
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