High-Octane Fixed Income – Refining Absolute Returns from Active Strategies
Sep 15th, 2006 | Filed under: Portable Alpha & Alpha/Beta SeparationBy: Paul Greff
Published: February 1, 2006
State Street’s Paul Greff explains that fixed income is fertile ground for alpha-centric strategies:
“…the growing popularity of separating asset class returns into their market portion, or beta, and excess returns, or alpha, has opened new possibilities for generating high-octane alpha from active fixed income strategies.”
He goes on to describe two main strategies: portable alpha and alpha “distilling”.
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