Portable Alpha: A How-To Guide
Jul 5th, 2006 | Filed under: Portable Alpha & Alpha/Beta SeparationBy: Tina Vandersteel GMO
Published: February 2006
Excerpts:
Portable alpha and alpha transfer are current strategy buzzwords in the investment management industry. Here we discuss the details of what’s involved, using GMO strategies and others as examples of some ideas noted in the recent press.
“Portable alpha is alpha that can be separated from the asset class within which it is generated and ported to another asset class. The reason for doing so is the same reason any change is made to an investment strategy: to increase returns without or only modestly increasing risk. The devil is in the details of how. This paper is designed to answer the questions of how portable alpha can be applied, and what makes portable alpha portable in the first place.”
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