http://allaboutalpha.com/blog/2006/07/05/measuring-the-true-cost-of-active-management-by-mutual-funds/ Hedge funds, portable alpha, 130/30 and alpha-centric investing Fri, 12 Mar 2010 16:56:36 +0000 http://wordpress.org/?v=abc hourly 1 http://allaboutalpha.com/blog/2006/07/05/measuring-the-true-cost-of-active-management-by-mutual-funds/comment-page-1/#comment-6396 allaboutalpha.com: Welcome to AllAboutAlpha.com Fri, 18 May 2007 01:33:45 +0000 http://allaboutalpha.com/blog/?p=40#comment-6396 [...] Maybe I’m working too much.  But the more I research alpha, the less I know how to define it.  While Andrew Lo asks “Where does alpha come from?”, I’m now back at “What is alpha”? Â For example, what might look like alpha over one timeframe is actually “exotic beta” when you shift the window of analysis only a few months.  What looks like alpha vs. one benchmark may, of course, be beta when compared to a different benchmark.  There’s ”active weight“, “active component“, “active share“, “absolute returns”, “reliance on public information“, “manager value-added” - even ”accidental alpha“. [...] [...] Maybe I’m working too much.  But the more I research alpha, the less I know how to define it.  While Andrew Lo asks “Where does alpha come from?”, I’m now back at “What is alpha”? Â For example, what might look like alpha over one timeframe is actually “exotic beta” when you shift the window of analysis only a few months.  What looks like alpha vs. one benchmark may, of course, be beta when compared to a different benchmark.  There’s ”active weight“, “active component“, “active share“, “absolute returns”, “reliance on public information“, “manager value-added” – even ”accidental alpha“. [...]

]]> http://allaboutalpha.com/blog/2006/07/05/measuring-the-true-cost-of-active-management-by-mutual-funds/comment-page-1/#comment-3269 allaboutalpha.com: Welcome to AllAboutAlpha.com Fri, 20 Apr 2007 13:15:23 +0000 http://allaboutalpha.com/blog/?p=40#comment-3269 [...] *What’s important here isn’t the absolute value of these numbers, but their ratio (Sharpe ratio) which is about 1.0 - very good indeed.  Interested readers should note that the “active portion” would be closer to 50%, not 28% under the added constraint that the active portion have the same standard deviation as the market.  For much more on this type of analysis, see Ross Miller’s seminal paper on the topic.  [...] [...] *What’s important here isn’t the absolute value of these numbers, but their ratio (Sharpe ratio) which is about 1.0 – very good indeed.  Interested readers should note that the “active portion” would be closer to 50%, not 28% under the added constraint that the active portion have the same standard deviation as the market.  For much more on this type of analysis, see Ross Miller’s seminal paper on the topic.  [...]

]]> http://allaboutalpha.com/blog/2006/07/05/measuring-the-true-cost-of-active-management-by-mutual-funds/comment-page-1/#comment-1378 All About Alpha » Blog Archives » Magellan a “Frankenfund”: Professor Wed, 07 Mar 2007 12:15:11 +0000 http://allaboutalpha.com/blog/?p=40#comment-1378 [...] So who better to tell the story than Professor Ross Miller of SUNY Albany - a man whose paper on index hugging is in the Portable Alpha Hall of Fame.  Miller released this ringing indictment of Magellan last month.  [...] [...] So who better to tell the story than Professor Ross Miller of SUNY Albany – a man whose paper on index hugging is in the Portable Alpha Hall of Fame.  Miller released this ringing indictment of Magellan last month.  [...]

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