Event: Separating Alpha from Beta to Enhance Portfolio Returns

Jul 4th, 2006 | Filed under: Uncategorized

Organizer: Strategic Resource Institute
Date: January 19-20, 2006
Location: Princeton, NJ

From Programme: 

Everyone is talking about portable alpha, but like any new product or strategy in the spotlight, there is also a lot of misinformation.  Portable alpha involves investing in a variety of alpha producing strategies that do not affect market exposure or an investor’s overall asset allocation.  The strategy is portable because it can be used with most asset classes as long as they have liquidity and can be hedged.

Portable alpha can offer institutional investors many benefits, but it can also be risky and expensive.  Implementation is complicated because it requires skill, a comfort with derivatives and accepting an alternative philosophy of investing.

  • What is Alpha and what is Beta?
  • What are the possible sources of alpha, and what are the risks? 
  • Can you employ this strategy if you aren’t a mega-sized California fund? 
  • What is the role of risk budgeting in portable alpha? 
  • Which portfolios should be separated by alpha and beta?  Fixed?  Equities?  International? 
  • How should you deal with counterparty risk and margin calls? 
  • How do you know if you are earning alpha? 
  • Do you have the skills to manage the program internally, or do you need to hire an expert(s)? 
  • Is it possible to pick the best managers and continue beating the benchmark over a long period of time? 

Link to Agenda

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