Browsing: Portable Alpha & Alpha/Beta Separation

Portable Alpha & Alpha/Beta Separation

"Bundled" Portable Alpha: A Bridge Across The Portable Alpha Chasm?

Jul 4th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

While nearly all institutional investors are now clear about the benefits of portable alpha, many are still put off by its often complex mechanics.  Unlike a simple active long-only mandate, a portable alpha strategy can often involve multiple accounts, the assumption of counterparty risk when using swaps for beta exposure, and cashRead More


BGI: Why Buy Pre-Packaged Alpha & Beta?

Jun 18th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

Don't tell Stan Beckers that BGI is a beta shop. He's head of "alpha management" at the firm and has been actively talking up BGI's alpha skills on the conference circuit recently.Read More


Overlays Wake Up From Long Slumber

Jun 12th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

"Overlay" is the wildcard of the asset management lexicon. It seems that everyone is overlaying something on something else these days. As soon as we figure out what, we'll let you know.Read More


Study suggests wealthy avoiding mutual funds in favor of indexing

Jun 6th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

A recent study suggested to some that the wealthy have turned their backs on indexing. But a closer look reveals wealthy investors actually index more of their mutual fund assets than the rest of us. Read More


A quarter vs. three nickels and a dime…

May 13th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

Separating alpha and beta is much like giving change for a twenty. You provide a $20 bill to the storekeeper and he "strips-away" only what is needed. But imagine a world with no change... Read More


Poll of institutional investors shows they face a "sea of ambiguity"

May 9th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

The benefits, costs and risks of 130/30, portable alpha, hedge funds and other emerging investment techniques are now quite clear to those immersed in the hedge fund and asset management community.  As we debate abstract ideas such as market inefficiencies, it’s easy to become frustrated with the pace of adoption.  But the fact remainsRead More


Fixed Income: A return to the glory days of yesteryear?

May 2nd, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

Putnam Institutional Investments says advances in financial technology such as credit derivatives, means today's fixed income strategies sure aren't your father's bond portfolio. Read More


EVENT: Portable Alpha & 130/30 Strategies 2007

Apr 18th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation, 130/30

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 sameRead More


Northwater launches new “portable alpha” funds

Apr 3rd, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

Quant manager Northwater launched two new funds today that it calls “portable alpha funds”. They’re interesting offerings that definitely bifurcate alpha and beta. Read More


Janus: The Roman god of alpha/beta separation?

Mar 25th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

Janus, the company whose logo looks like an early version of that face transplant performed in France last year, has come out with an intriguing offering that aims to separate alpha and beta investment decisions. Read More


Northwater Capital: Asset Manager 2.0?

Mar 19th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation, Institutional Investing

Northwater’s alpha-centric, open-architecture, solution-oriented business model: a harbinger of things to come? Northwater Capital Management is so into alpha-centric investing, that until last year, its old company home page included only three things: the company’s name, its logo and the CAPM. They have since opted for a more disarming view of the sunsetRead More


Columnist throws out alpha baby with beta bathwater

Mar 18th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

Bloomberg’s Chet Currier is generally in tune with alpha-centric investing.  In a column last fall, he quite correctly observed: The very model of a mutual fund is indeed outmoded, argues a large and growing group of financial researchers and professional money managers who are busy describing, building and proselytizing for a differentRead More


Valentine’s Special: Canada’s Secret Crush on Portable Alpha

Feb 15th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

Alpha Male was a moderator and panelist last week at an alternative investment conference in the Great White North.  One of the other speakers at the event was Lea Hansen, a Principal at consultant Greenwich Associates.  Hansen is a highly respected member of the Canadian financial intelligentsia, once serving as President of the Toronto CFA Society,Read More


Jaeger: Hedge Funds Usher in “Atomic” Age of Investing

Feb 12th, 2007 | Filed under: CAPM / Alpha Theory, Portable Alpha & Alpha/Beta Separation

You don’t need a Ph.D. in physics to understand hedge fund replication. But Lars Jaeger has one just in case. And he used it masterfully today to draw an analogy between the model of the atom in the 19th century (a random mass of various particles) and the common paradigmRead More


Smart Money Going to Portable Alpha: Conference Attendees

Feb 7th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

February 7, 2007 (Geneva) – AllAboutAlpha.com contributor Mark Baumgartner of Morgan Stanley says that Portable Alpha is on the minds of attendees of this year’s Institutional Fund Management conference in Geneva today.  Baumgartner reports the results of an electronic poll of audience members conducted this morning during a session entitled “Predicting WhereRead More


Advisors Warm to Options. Now What?

Feb 6th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

“Online Options Trading is Getting Cheaper” By: Aaron Siegel, Investment News Published: February 5, 2007 According to the CBOE, only 5-10% of financial advisors have ever used options.  But Investment News says today that this may change with the introduction of new, cheaper ways to trade options online.  James Bittman,Read More


Pyramis (Fidelity) Splices Alpha & Beta

Feb 2nd, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

“Fidelity Targets Pensions Cash” By: Deborah Brewster, Financial Times Published: January 28, 2007 Note to pension readers: get ready for a call from your friendly neighborhood Fidelity sales guy.  According to the Financial Times, Fidelity’s institutional arm, Pyramis, is about to teach a clinic on alpha-centric investing: “Pyramis’s main pushRead More


Under the hood, new ETFs are same tools used for “portable alpha”

Feb 2nd, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

“These ETFs Bring Hedge Fund Tactics to the Mainstream” By: Rob Werry, SmartMoney.com Published: January 31, 2007 For individual investors, ETFs are the easiest way to satisfy the beta requirement in an “alpha-centric” portfolio.  This article illustrates how those ETFs now contain ingredients that are more exotic than you may have thought.  NoRead More


King of Quants

Jan 30th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

By: Douglas Appell, Pensions & Investments Published: January 8, 2007 Any of you who have tried to read this article by PanAgora CEO, Eric Sorensen will understand clearly what he meant when he told P&I in a recent interview: “We’re academics. We do practical research, (at a) very high level, andRead More


The Future is “True Alpha” & “Cheap Beta”: McKinsey

Jan 29th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation, Institutional Investing

“The Asset Management Industry: A Growing Gap Between the Winners and the Also-Rans” By: McKinsey & Company Published: 2006 This McKinsey report echoes a theme discussed by Tim Price, the CIO of Global Strategies at UBP.  It essentially concludes that is is the best of times and worst of times for asset managers.  To back up thisRead More


Turning theory into reality

Jan 19th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

By: Hugo Greenhalgh, FT Mandate Published: November 2006 FT published a good overview of portable alpha in November.  It’s a follow-up to FT Mandate’s June 2006 piece called “Portable alpha gains widespread acceptance“. A Disruptive Financial Technology Greenhalgh suggests the development of new financial technologies is enabling portable alpha: “With financial instrumentsRead More


Global Capital: The Best, and Worst, of Times

Jan 7th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

By: Tim Price, CIO, Global Strategies, UBP Published: January 4, 2007 Tim Price lives at an intersection.  Only his intersection doesn’t show up on Google Maps.  As the CIO, Global Strategies for one of the world’s largest hedge fund & private equity investors, he has his finger on the pulseRead More


EVENT: Strategic Portable Alpha

Jan 5th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

Location: Abu Dhabi Date: January 14-17, 2007 Organized by: UNI Training With more snow in Dubai than in Switzerland this winter, you may find yourself in the Gulf region with a few days to kill in January.  This workshop promises to help you “enhance and gain an intuitive understanding of portableRead More


Donald Putnam: ETFs a “Disruptive Technology”

Dec 29th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

By: Cecily O’Connor, Pensions & Investments Published: December 25, 2006 When Donald Putnam (co-founder of Putnam Lovell) speaks, people listen.  So when he brands ETFs a “disruptive technology”, you know someone is in for a rough ride.  In this case, it’s mutual funds.  Like Morgan Stanley’s Mark Baumgartner and like us atRead More


Note to Bloomberg: Chet Currier is a very smart man.

Dec 19th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation, Retail Investing

Kudos to Bloomberg’s Chet Currier for shining the spotlight on alpha-centric investing today (“Does Alpha-Beta Spell “The End” for Mutual Funds?“).  Reports Currier: “The very model of a mutual fund is indeed outmoded, argues a large and growing group of financial researchers and professional money managers who are busy describing,Read More


I know what you did last summer…you wrote a paper lambasting portable alpha

Dec 13th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

“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 alphaRead More


Portable Alpha: A Practitioner’s Guide

Dec 13th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

By: Jack Coates & Mark Baumgartner, Morgan Stanley Published: July 2006, Euromoney Asset Management & Trading Handbook 2006 / 2007 “Every now and then, there is a development in the world of finance that results in a major paradigm shift.” “As with any new idea or methodology, there is an incubationRead More


Shark Attacks, Fast Food, Bad Drivers and No Place to Hide

Dec 12th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

This is the final dispatch from Alpha Male’s road trip to Institutional Investor’s Alpha Generation Forum in New York last week. I’d be the first to admit alpha centric investing (portable alpha, active overlays, 1X0/X0 strategies, hedge funds, ETFs etc.) can be brutally boring sometimes. But to their credit, theRead More


Interview with Wilshire’s Jim Dunn about the new Wilshire/Fairfield Greenwich portable alpha offering

Dec 11th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

Earlier today (Monday), I spoke with Jim Dunn, VP at Wilshire Associates about the firm’s new partnership with hedge fund manager Fairfield Greenwich Group to provide a turn-key portable alpha solution. A former convertible arbitrage manager and graduate of Villanova University, Dunn was hired by Santa Monica-based Wilshire about 18Read More


Portable Alpha via Structured Products

Nov 21st, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

Portable Alpha – The Most-Talked-About Application of ‘Alpha’ is Becoming Reality By: Todd M. Brussel, The Royal Bank of Scotland Group Published: November 2006, Eurekahedge This article provides some good simple examples of how alpha can be distilled, ported and packaged in the form of structured products. “a synthesised structured portableRead More


An Alpha+Beta Framework

Nov 16th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

By: Edward Kung, Babson Capital & Larry Pohlman, Wellington Management Company Published:á=Winter 2005, Journal of Investing This article provides a ringing indictment of strategic asset allocation (SAA). The authors argue that an Á-°Alpha BetaÁ-? solution is far superior to a simple allocation to stocks/bonds/cash and sub-allocations to various equity classes.Read More


Alternative Portfolio Strategies: Standing in the Alpha-Beta Parking Lot

Nov 12th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

By: Matthew Nelson, Tower Group Published: November 2005 (editor’s note: At AllAboutAlpha, we do all we can to ensure readers don’t get stuck having to subscribe to or purchase the content to which we link.  Whenever possible, we find free registrations or provide a free alternative versions of any for-fee contentRead More


EVENT: Portable Alpha Plus

Nov 11th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

Organizer: Strategic Research Institute Location: Scottsdale, AZ Dates: January 28-31, 2007 SRI bills this event as one of four “concurrent events” at its 2007 Alternative Investment Round-up (Yeeee-ha!).  Featuring actual case studies, this sounds like it could be a very interesting event.  According to the programme, the conference will include: “…case studies byRead More


ETFs and Hedge Funds: Separated at Birth

Nov 9th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation, Retail Investing

When mutual funds can be cloned using a combination of ETFs and hedge funds, it’s no surprise that both sectors seem to be growing in tandem.                Experts have been trying to reconcile these seemingly contradictory trends.  Are we giving up on active management or embracing it?  Do we wantRead More


BGI CEO tells FT about “artificial distinction” between hedge and long-only

Nov 9th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

By: Deborah Brewster, Financial Times Published: November 9, 2006 Blake Grossman, CEO of BGI, articulates a point that is central to alpha-centric investing: that the terms “alpha” and “beta” are not synonymous with “hedge” and “long-only”.  Says FT: “The head of Barclays Global Investors, the world’s biggest money manager, hasRead More


Bridgewater takes portable alpha route, urges clients to follow suit

Oct 30th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

By: Christine Williamson, Pensions & Investments Published: October 30, 2006     Talk about industry leadership.  According to Pensions & Investments, Bridgewater (manager of $165 billion) has sent letters to its clients saying that portable alpha strategies are such a no-brainer, that any client not buying in to the approach in theRead More


Alpha, Beta & Bicycles

Oct 23rd, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

By: Michael Dalis, State Street Global Advisors Published: August 24, 2006 Saddle up for the “Tour de Alpha”! Michael Dalis of State Street compares asset management to a bicycle race (work with us here).  He says that no one has ever won the Tour de France without first cooperating with his competitors.  LikeRead More


Fidelity Practically a “No Show” in ETF Arena

Oct 23rd, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation, Retail Investing

By: David Hoffman, Investment News Published: October 23, 2006 Smaller events on the PGA and ATP Tours always have a problem attracting the big names.  Take, for example, the Canadian stop on the ATP Tour.  It seems that every year the top players fall victim to some freak injury right before theRead More


Is there an optimal mix between alpha and beta in hedge fund returns?

Oct 18th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation, Performance, Analytics & Metrics

By: Diana Raluca Calin, Reading University Published: April 2006 EurekaHedge highlights an interesting paper on alpha and beta in hedge funds.  Written by a Masters student at the ICMA Centre at Reading University, the paper (a Master’s thesis using the EurekaHedge database) contains some interesting findings about the amount ofRead More


Portable alpha – Rise of the machine

Oct 17th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

By: Gareth Gore, Risk Magazine Published: October 2006 A hat tip goes out to the Kirk Report for identifying this article.  Apparently, the quant jocks at Risk Magazine have taken an interest in portable alpha not so much because of the flexibility of dividing alpha and beta, but because some newerRead More


Lucent close to $100 million hedge fund [portable alpha] assignment

Oct 15th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

By: Pensions & Investments Published: October 13, 2006 According to sources that “insisted on anonymity” for this story, the $34 billion Lucent pension program is close to adding $100 million to a portable alpha platform.  P&I seems to have a bit of a scoop here – no one there (other than deep throatRead More


New “Portable Alpha” Fund

Oct 12th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

Here’s an interesting example of a genetically modified hedge fund that aims to deliver pure alpha. Armajaro Asset Management, a UK-based firm with significant business in Africa, recently launched a synthetic market neutral equity fund that the firm calls the purest representation of the portable alpha concept. As we haveRead More


Portable Alpha: What it is and how it can be applied to Insurance Companies’ Surplus Portfolios

Oct 10th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

Presentation by: Pierre LaRoche, Desjardin Global Asset Management Presented at: The 2006 Stochastic Modeling Symposium and Investment Seminar, Toronto, April 4 2006 In case you missed the latest “stochastic modelling symposium”, you can always check out this presentation from the event that covers the role of portable alpha in the insuranceRead More


Alpha Shop

Oct 5th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation, Institutional Investing

By: Max Darnell, First Quadrant Published: April 2004 First Quadrant was a pioneer in Alpha/Beta bifurcation and were even advocating portable alpha back in the late 90’s (when, to its chagrin, beta was producing double digit returns and no one cared about alpha).  So they’ve developed a very acute “sense ofRead More


The extra kicker – adding portable alpha to liability-driven investments

Oct 2nd, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

By: Andreas Jaggi & Stefan Scholtz, RMF Published: July 2006, Hedge Funds Review This is a moderately technical article by RMF rocket scientists in the UK.  But for those so inclined, it provides a good mathematical example of porting alpha (factoring in the effect of inflation on a pension’s liabilities).Read More


Event: Portable Alpha Webcast

Oct 1st, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

Organized by: ProFunds Date: October 3rd, 2006, 4:15pm EDT Location: Your Office Portable Alpha Daily listened to this webcast on September 27 and suggests that it might be interesting for portable alpha enthusiasts such as Alpha Male and his readers.  It’s being held again on October 3rd.  While you technicallyRead More


Portable Alpha Gathers Steam

Sep 29th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

By: Phyllis Feinberg, MARHedge Published: August 14, 2006 This article (reprinted below with permission from the publisher, MARHedge) covers a number of recent portable alpha transactions from Pennsylvania Employees’ Retirement Fund and The World Bank to Iowa’s Public Employees’ Pension and the Desert States United Food and Commercial Workers LocalRead More


San Diego Yanks Amaranth Allocation But Adds $40 Million to Portable Alpha Program

Sep 29th, 2006 | Filed under: Portable Alpha & Alpha/Beta Separation

By: Pensions & Investments Online Published: September 28, 2006 The San Diego County Employees’ Retirement Association has submitted a redemption request to you-know-who.  But at the same time, they continue to allocate to their highly regarded “alpha engine”.  A vote of confidence for portable alpha that illustrates it’s not just aboutRead More