Fixed income 130/30 produces “Pru Alpha” (that’s not a typo)
| Apr 4th, 2007 | Filed under: 130/30 | By: Alpha Male |
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The classic portable alpha model usually involves long and short investments in equities. But we’ve received several emails from concerned readers over the past few months about the lack of information out there for portable alpha enthusiasts in the fixed income department. Thankfully, help is on the way. Prudential Financial is now talking about “the burden of the long-only constraint” in fixed income portfolios.
In this report on “Pru Alpha” (actual product name), Prudential shows that prudent short selling of bonds can allow managers to bake more of their investment beliefs into a portfolio. Call it “fundamental law” meets fixed income. In fact, and with all due respect for the unique challenges of shorting on the fixed income desk, it’s as if Prudential had done a “search and replace” on the word “equity” on a traditional 130/30 marketing paper.
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[...] Some of our favorites will be there: Harvard’s Randy Cohen (related posting), Prudential’s Michael Lillard (related posting), Man Investment’s Angelo Calvello (related posting), Casey Quirk’s Jeb Dogget (related posting) and Wilshire’s Jim Dunn (related posting). [...]