Event: Pursuit of Pure Alpha
Jul 13th, 2006 | Filed under: CAPM / Alpha TheoryOrganizer: Pension & Investments Magazine
Date: May 22-24, 2006
Location: New York
From Conference Programme:
“Portable alpha is not magic, and will not make a silk purse of outperformance out of the sow’s ear of underfunding, certainly not in the aggregate when alpha is zero before costs. However, it is a rational framework for the right way to invest. The current prevalent structure of actively managed traditional portfolios is not completely rational, and should eventually reside in the dustbin of history. Portable alpha is destined to be the way the professional world manages money, not simply an esoteric fringe methodology.”
“However, until recently, financial markets didn’t provide tools that allowed investors to accurately isolate beta and alpha. So in the years since modern portfolio theory and CAPM became common currency, investors have sought to create alpha, but it’s been a bit of a hit or miss affair. All active equity managers are seeking alpha, but true alpha is a risk-adjusted return with the beta stripped out. And not all active equity managers have successfully created riskadjusted alpha.”
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