EVENT: Portable Alpha & 130/30 Strategies 2007

Location: New York
Dates: November 7-9, 2007
Organized By: Terrapinn

In a great example of real-time market response, organizers of “Portable Alpha USA” have recently added “130/30” to the mix. While these two topics might appear to be slightly different species, we argue that they are part of the same genus: alpha-centrus investingae. Portable Alpha advocates would have investors lever their beta (keeping it at the same level) and use the capital to allocate to an alpha source. Similarly, 130/30 also involves alpha/beta separation, but keeps the beta 100% funded and effectively allocates to an “unfunded” market neutral alpha source (well, at least not truly “unfunded” since the beta source essentially acts as collateral for taking on the short positions).

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).

According to organizers, the event will focus on:

  • The mechanics of portable alpha
  • Has portable alpha lived up to the hype?
  • Is alpha a zero sum proposition?
  • Choosing optimal alpha engines: Hedge fund alpha, forex, commodities
  • Managing beta Risk management
  • Using derivatives
  • Implementing portable alpha in a LDI environment
  • Portable alpha in practice
  • Effective structuring of a portable alpha program – do-it-yourself versus turnkey solutions
  • Understanding short-extension strategies
  • Implementing a 130/30 strategy, an investor perspective
  • The great debate – can short-extension strategies be considered hedge funds
  • Choosing a 130/30 manager
  • Comparing 130/30 and portable alpha strategies

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