New paper explains “muted demand” for portable alpha
Jan 3rd, 2008 | Filed under: CAPM / Alpha Theory, Investment Management Fees, Performance, Analytics & Metrics, Portable Alpha & Alpha/Beta Separation
As outside observers of the academic literature surrounding alpha-centric investing, we always find it curious that the easiest-to-read, most accessible papers and presentations are usually written by some of the field’s most accomplished and technically sophisticated members. William Sharpe, Eugene Fama, Andrew Lo, Jacobs & Levy…each seems to be able to cast aside the trappings of academia and present cogent arguments in laymen’s terms.
By this standard, Larry Gorman is a name to watch. The Cal Poly professor has a unique ability to come down from the ivory tower to help the rest of us get our head around the pressing academic issues of the day - the Fundamental Law of Active Management, 1X0/X0, and the true meaning of alpha, for example. But don’t take our word for it, Gorman has been named “Most Outstanding Faculty” in the Cal Poly finance department each of the past fours years.
Gorman recently teamed up with professor Robert Weigand of Washburn University to write this relatively easy to digest paper covering some of the roadblocks on the path to alpha-centric investing (called “Measuring Alpha Based Performance. Implications for Alpha Focused, Structured Products”). Warn the duo:
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