http://allaboutalpha.com/blog/2006/10/01/treading-where-alpha-does-not-sum-to-zero/ Hedge funds, portable alpha, 130/30 and alpha-centric investing Wed, 17 Mar 2010 03:10:00 +0000 http://wordpress.org/?v=abc hourly 1 http://allaboutalpha.com/blog/2006/10/01/treading-where-alpha-does-not-sum-to-zero/comment-page-1/#comment-209 All About Alpha » Blog Archives » Net Inflows and Time-Varying Alphas: The Case of Hedge Funds Tue, 09 Jan 2007 00:30:31 +0000 http://allaboutalpha.com/blog/2006/10/01/treading-where-alpha-does-not-sum-to-zero/#comment-209 [...] But how can this be? Â  Intuition suggests that more assets chasing the same inefficiency will eventually arbitrage- (”iron”) out that inefficiency.  As Alexander Ineichen says in his new book, the market “learns” or “becomes immune” to the arbitrageur (although he does say that markets cannot be perfectly efficient).  But according to Beltratti and Morana, market participants have heterogeneous utility functions (a notion also argued by Max Darnell, Joanne Hill, and William Sharpe): “The wide variety of real world investors, including noise traders and investors with heterogeneous time horizons and objectives, seems to provide plenty of opportunities for hedge funds managers to exploit: the limits of arbitrage do not seem to have been met yet.” [...] [...] But how can this be? Â  Intuition suggests that more assets chasing the same inefficiency will eventually arbitrage- (”iron”) out that inefficiency.  As Alexander Ineichen says in his new book, the market “learns” or “becomes immune” to the arbitrageur (although he does say that markets cannot be perfectly efficient).  But according to Beltratti and Morana, market participants have heterogeneous utility functions (a notion also argued by Max Darnell, Joanne Hill, and William Sharpe): “The wide variety of real world investors, including noise traders and investors with heterogeneous time horizons and objectives, seems to provide plenty of opportunities for hedge funds managers to exploit: the limits of arbitrage do not seem to have been met yet.” [...]

]]> http://allaboutalpha.com/blog/2006/10/01/treading-where-alpha-does-not-sum-to-zero/comment-page-1/#comment-113 All About Alpha » Blog Archives » Alpha as a Net Zero Sum Game: How Serious a Constraint? Wed, 06 Dec 2006 01:44:43 +0000 http://allaboutalpha.com/blog/2006/10/01/treading-where-alpha-does-not-sum-to-zero/#comment-113 [...] But more importantly, Hill argues that alpha is not actually a “zero-sum game”.  Like Max Darnell of First Quadrant, she argues that the heterogeneity of investor utility functions mean that everyone’s a winner! (Well, if not everyone, at least more than half of all investors.) [...] [...] But more importantly, Hill argues that alpha is not actually a “zero-sum game”.  Like Max Darnell of First Quadrant, she argues that the heterogeneity of investor utility functions mean that everyone’s a winner! (Well, if not everyone, at least more than half of all investors.) [...]

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