http://allaboutalpha.com/blog/2006/12/20/william-sharpe-institutional-asset-allocation-studies-inferior/ 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/2006/12/20/william-sharpe-institutional-asset-allocation-studies-inferior/comment-page-1/#comment-5543 allaboutalpha.com: Welcome to AllAboutAlpha.com Wed, 09 May 2007 23:27:03 +0000 http://allaboutalpha.com/blog/2006/12/20/william-sharpe-institutional-asset-allocation-studies-inferior/#comment-5543 [...] The report suggests that Modern Portfolio Theory’s need to divide the world into asset classes is behind much of this “semantic confusion”.  In an apparent affirmation of William Sharpe’s contention that asset allocation studies are “inferior” (see related posting), over half of participants said that the very concept of a “policy portfolio” needed to be either revised or reinvented… [...] [...] The report suggests that Modern Portfolio Theory’s need to divide the world into asset classes is behind much of this “semantic confusion”.  In an apparent affirmation of William Sharpe’s contention that asset allocation studies are “inferior” (see related posting), over half of participants said that the very concept of a “policy portfolio” needed to be either revised or reinvented… [...]

]]> http://allaboutalpha.com/blog/2006/12/20/william-sharpe-institutional-asset-allocation-studies-inferior/comment-page-1/#comment-359 All About Alpha » Blog Archives » The Whole Enchilada Fri, 26 Jan 2007 01:26:19 +0000 http://allaboutalpha.com/blog/2006/12/20/william-sharpe-institutional-asset-allocation-studies-inferior/#comment-359 [...] And finally, he suggests (as does William Sharpe in his new book) that strategic asset allocation is a false religion… “Rather than “equity managers” competing with other “equity managers” in the investor’s equity piece of the pie, all alpha generators will compete with each other for the whole enchilada.” [...] [...] And finally, he suggests (as does William Sharpe in his new book) that strategic asset allocation is a false religion… “Rather than “equity managers” competing with other “equity managers” in the investor’s equity piece of the pie, all alpha generators will compete with each other for the whole enchilada.” [...]

]]> http://allaboutalpha.com/blog/2006/12/20/william-sharpe-institutional-asset-allocation-studies-inferior/comment-page-1/#comment-211 All About Alpha » Blog Archives » Net Inflows and Time-Varying Alphas: The Case of Hedge Funds Tue, 09 Jan 2007 18:00:38 +0000 http://allaboutalpha.com/blog/2006/12/20/william-sharpe-institutional-asset-allocation-studies-inferior/#comment-211 [...] 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.” [...]

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