Why bother separating alpha and beta? Here’s why.
| Nov 8th, 2009 | Filed under: Academic Research, CAPM / Alpha Theory, Today's Post | By: Alpha Male |
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The cast and crew of AllAboutAlpha.com were in Los Angeles this week meeting with some of our favorite alpha centric asset managers and investment management consultants. One of those companies was quant manager Analytic Investors. Regular readers will remember the names Roger Clarke, Harindra de Silva, Steven Thorley and Steve Sapra for their work on extending the “law of active management” and penning a seminal work on short extension (a.k.a. 130/30) strategies.
Clarke, de Silva and Thorley were at it again this year with the release of a very interesting “monograph” (translation: “100 page mini-book”) on alpha/beta separation. This paper is required reading for anyone with an opinion (either positive or negative) on the somewhat controversial strategy. With so-called “alpha” allocations producing decidedly beta-like returns the past couple of years, many have discounted the value of delineating alpha from beta in the first place.
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can someone explain how they determine the -60% exposure to the index future?