Portable Alpha & Alpha/Beta Separation
Arbitrage Pricing Theory and Large Pricing Errors
Dec 13th, 2015 | Filed under: CAPM / Alpha Theory, Portable Alpha & Alpha/Beta Separation, Hedge Fund Operations and Risk Management, Alpha & Beta, Financial Economics Theory, Newly Added, Risk Management Strategies & Processes, Risk Management & Operations, Allocating to A.I., Finance & EconomicsUppal and Zaffaroni use Arbitrage Pricing Theory as a meta-model: a model that can be employed to check the errors in the specification of first-order models that in turn are used to value assets.Read More
A New Index: The Eurekahedge 50
Jun 1st, 2015 | Filed under: Portable Alpha & Alpha/Beta Separation, Alternative Beta & Hedge Fund Replication, Indexes, Liquid Alts
It appears likely that the new index, the Eurekahedge 50, as well as the daily tracker index that has been built around it, will have aspirational significance. It is designed to set a bar that will be very difficult for other alpha seekers to clear, yet easy for replicators to follow. Read More
The Delusions a Boom Can Bring and the Perils of Chasing Hedge Fund Winners
Aug 28th, 2014 | Filed under: Portable Alpha & Alpha/Beta Separation, Institutional Investing, Alpha Hunters, Alpha Strategies, Risk managementFor an investor allocating slots in its portfolio to hedge funds, the draw of recent outsized performance can be powerful. Thus, the temptation to chase winners. But two members of the Hedge Fund Strategies Group at Commonfund caution against it. Read More
Financial crisis put mutual funds, hedge funds and ETFs on a three way collision course
Sep 8th, 2010 | Filed under: Portable Alpha & Alpha/Beta Separation, Hedge Fund Industry TrendsA series of recent reports on the convergence in the asset management industry shows can alpha-seeking hedge funds and beta-seeking ETFs can make strange bedfellows - especially when they have a common enemy.Read More
Selling umbrellas in Times Square
Mar 9th, 2010 | Filed under: Portable Alpha & Alpha/Beta SeparationPortable Alpha has always been a convenient scapegoat for those who lost money in the stormy days of 2008. But now that the rain has gone, signs of balance and perspective are beginning to emerge.Read More
In portfolio management, sometimes the sum of the parts is greater than the whole
Nov 11th, 2009 | Filed under: Portable Alpha & Alpha/Beta SeparationIt's not that active managers are using the wrong parts, it's just that they're using the wrong numbers of them, says this must-read document.Read More
Alpha being airlifted out of dying portable alpha strategies
Sep 23rd, 2009 | Filed under: Portable Alpha & Alpha/Beta SeparationDisenchanted with the beta portion of their portable alpha programs, several major public pension plans are now shunning the approach. But that doesn't mean they're turning their backs on absolute return strategies. Far from it... Read More
Funds of funds shown to be mostly beta – thus demanding a much greater allocation
Sep 13th, 2009 | Filed under: Portable Alpha & Alpha/Beta SeparationUsually hedge fund fund managers bristle at the suggestion that they "sell beta at alpha prices." If this is true, then fees will have to fall. But as a recent paper argues, volumes would also have to rise.Read More
Alpha/Beta “Separation” doesn’t actually require “separating” anything
Jul 28th, 2009 | Filed under: Portable Alpha & Alpha/Beta SeparationWhether they use portable alpha strategies or not, institutional investors are apparently demanding transparency about how much alpha and beta is contained in their existing funds. Read More
“Beta blockers” aim to reduce the blood pressure of those facing hedge fund gates
Jun 7th, 2009 | Filed under: Portable Alpha & Alpha/Beta SeparationStressed about having your money locked up in a hedge fund? Just pop a few of these...Read More
Portable Alpha to be “reborn” according to author of new paper on the topic
May 14th, 2009 | Filed under: Portable Alpha & Alpha/Beta SeparationPortable alpha may have died last year. But according to at least one expert, it's about to be reborn.Read More
Did Pennsylvania take a wrong turn with portable alpha?
Dec 9th, 2008 | Filed under: Portable Alpha & Alpha/Beta SeparationAfter the announcement by Pennsylvania's state employees pension plan that it lost money on its portable alpha strategy, some are saying this is proof that portable alpha is "exotic and risky" and that its promoters are "thieves". We examine the validity of these claims.Read More
“Overlay hedging” in funds of funds improves alpha: Edhec
Oct 30th, 2008 | Filed under: Portable Alpha & Alpha/Beta SeparationA research paper by Edhec details a technique that might have helped some funds of funds navigate through this year's September from hell.Read More
Alpha Beta Separation: A separation of church and state
Sep 7th, 2008 | Filed under: Portable Alpha & Alpha/Beta SeparationNot since Martin Luther tried to nail a redemption notice on the door of his Cayman-domiciled convert arb manager has there been such a spiritual revolution in investing. Read More
Major pension drops longstanding traditional managers in order to divide alpha and beta
Aug 7th, 2008 | Filed under: Portable Alpha & Alpha/Beta SeparationIt's a situation reminiscent of trying to dump your girlfriend or boyfriend before she/he can get a chance to dump you.Read More
Sweden’s AP7 pension fund reports on progress of alpha/beta retooling
Jun 30th, 2008 | Filed under: Portable Alpha & Alpha/Beta SeparationThe pension community has been closely watching one of Sweden's national pension funds for clues about how a major re-org is going. Read More
Day one from the un-named event in London
Jun 2nd, 2008 | Filed under: Portable Alpha & Alpha/Beta Separation, Hedge Fund Industry Trends, Performance, Analytics & MetricsA meeting this week in London features the movers and shakers from the intersection of hedge funds and institutional investing. Read More
Thomas Friedman on alpha/beta separation
Jun 2nd, 2008 | Filed under: Portable Alpha & Alpha/Beta SeparationIt turns out the forces shaping the asset management industry aren't that different from those facing the global economy.Read More
One of portable alpha’s originators says concept has evolved, in some cases, into something “vastly different”
May 11th, 2008 | Filed under: Portable Alpha & Alpha/Beta Separation, Hedge Fund RegulationPIMCO's Chris Dialynas was one of the pioneers of portable alpha. But his Epilogue to a new book on the topic reflects his concern with the direction it has taken.Read More
Is “Active/Passive” another term for “Alpha/Beta”? Not quite.
Apr 24th, 2008 | Filed under: Portable Alpha & Alpha/Beta SeparationA new mutual fund offering borrows from portable alpha concepts. Will retail investors finally bite?Read More
Author of New Book: For more return without more downside risk “there are only two options”
Apr 23rd, 2008 | Filed under: Portable Alpha & Alpha/Beta SeparationA new book finally tries to bring it all together.Read More
Pennsylvania is also “Portable Alpha Country”
Apr 23rd, 2008 | Filed under: Portable Alpha & Alpha/Beta SeparationThe Pennsylvania state employees are a little better off this year thanks to some bold investment moves.Read More
Portable alpha demoted to “low opportunity” in new survey of consultants
Mar 25th, 2008 | Filed under: Portable Alpha & Alpha/Beta Separation, 130/30A new survey of investment consultants reveals a significant split between the views of large and small players. Read More
Passive managers spark space race with launch of new satellites
Mar 13th, 2008 | Filed under: Portable Alpha & Alpha/Beta SeparationNotwithstanding new evidence of its alleged fruitlessness, support for active management seems to be coming from an unlikely source: passive managers. Read More
Portable Alpha Theory & Practice
Feb 26th, 2008 | Filed under: Portable Alpha & Alpha/Beta SeparationTitle: Portable Alpha Theory and Practice Author: Sabrina Callin Published: February 2008 From Publisher: While the interest in portable alpha has grown exponentially, few investors have a true appreciation for the risks and operational complexities associated with this investment application. By first mapping out the key components and evolution ofRead More
Hedge Funds shouldn’t fear “The Blob”
Feb 6th, 2008 | Filed under: Portable Alpha & Alpha/Beta SeparationA recent Bloomberg column suggests ETFs are a horror movie for both mutual funds and hedge funds. While mutual funds ought to be covering their eyes, hedge funds shouldn't be so scared. Read More
More on fixed income portable alpha
Feb 5th, 2008 | Filed under: Portable Alpha & Alpha/Beta SeparationIn a December 2007 discussion paper, Franklin Templeton’s Australian fixed income group said it is seeing, “especially strong interest in the application of portable alpha to fixed income investing.” (Prudential’s fixed income group and Morgan Stanley’s Portable Alpha team would likely agree.) The paper is solidly alpha-centric: “Portable alpha strategies, designed to isolateRead More
130/30 Experts: pick your compensation… “attractive”, “competitive”, or “outstanding”
Jan 22nd, 2008 | Filed under: Portable Alpha & Alpha/Beta Separation, 130/30Three job postings reveal that 130/30 is as much about sales and education as it is about investing.Read More
New paper explains “muted demand” for portable alpha
Jan 3rd, 2008 | Filed under: CAPM / Alpha Theory, Portable Alpha & Alpha/Beta Separation, Performance, Analytics & Metrics, FeesWhen arguments can be made that 130/30 investing and portable alpha are cousins, why then has 130/30 become the cat's meow and portable alpha growth is "muted"? Two academics have a theory.Read More
Swedish Pension Plan: Alpha-Beta Split = Investment “Creativity”
Dec 17th, 2007 | Filed under: Portable Alpha & Alpha/Beta SeparationAn official with one of Sweden's national pension funds told an audience last week that alpha-beta separation has led to more "creativity" on his team. His approach is clean and simple...like another Swedish innovation.Read More
Mutual fund company launches retail portable alpha funds based on “real” alpha
Dec 3rd, 2007 | Filed under: Portable Alpha & Alpha/Beta SeparationThe term "exotic beta" still generates embarrased giggles when uttered outside the hedge fund industry. But one mutual fund company is trying to change that by applying hedge fund concepts to mutual fund analysis.Read More
Convergence at The Rockefeller Center
Nov 7th, 2007 | Filed under: Portable Alpha & Alpha/Beta SeparationWhat if alpha didn't exist? Would that put a major kibosh on "portable alpha"? Apparently not. In fact, alpha may not even be that important to portable alpha after all.Read More
Blogger’s Notebook: “Portable Alpha & 130/30 USA”
Nov 7th, 2007 | Filed under: Portable Alpha & Alpha/Beta SeparationFor the 8th week in a row, Alpha Male finds himself eating conference Danishes and pre-package cream cheese for breakfast at "Portable Alpha & 130/30 USA".Read More
Alpha “Unleashed”
Oct 4th, 2007 | Filed under: Portable Alpha & Alpha/Beta SeparationA new white paper from T. Rowe Price ties together portable alpha and alternative beta. Read More
CIO of $32b Swedish National Pension Fund: Portable Alpha Has “Merits” and “Risks”
Sep 9th, 2007 | Filed under: Portable Alpha & Alpha/Beta SeparationIn this guest posting, the CIO of one of five "buffer funds" in the Swedish pension system reflects on his experiences as a pioneer of alpha-centric investing.Read More
Deutsche Bank hedge fund-of-funds joins march on retail market
Aug 13th, 2007 | Filed under: Portable Alpha & Alpha/Beta SeparationDeutsche Bank recently announced the launch of a "portable alpha" product for retail investors - the latest in a steady flow of alpha-centric products hitting shelves during the recent market calamity. Read More
Conference proceedings amount to alpha-centric radar screen
Jul 15th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation, 130/30A conference covering portable alpha, 130/30, LDI and related strategies has recently released its proceedings to the public. While they contain no new research, they show what's currently on the alpha-centric radar screen.Read More