Browsing: Portable Alpha & Alpha/Beta Separation

Portable Alpha & Alpha/Beta Separation

Arbitrage Pricing Theory and Large Pricing Errors

Dec 13th, 2015 | Filed under: Allocating to A.I., Alpha & Beta, CAPM / Alpha Theory, Finance & Economics, Financial Economics Theory, Hedge Fund Operations and Risk Management, Newly Added, Portable Alpha & Alpha/Beta Separation, Risk Management & Operations, Risk Management Strategies & Processes

Uppal and Zaffaroni use Arbitrage Pricing Theory as a meta-model: a model that can be employed to check the errors in the specification of first-order models that in turn are used to value assets.Read More


A New Index: The Eurekahedge 50

Jun 1st, 2015 | Filed under: Alternative Beta & Hedge Fund Replication, Indexes, Liquid Alts, Portable Alpha & Alpha/Beta Separation

It appears likely that the new index, the Eurekahedge 50, as well as the daily tracker index that has been built around it, will have aspirational significance. It is designed to set a bar that will be very difficult for other alpha seekers to clear, yet easy for replicators to follow. Read More


The Delusions a Boom Can Bring and the Perils of Chasing Hedge Fund Winners

Aug 28th, 2014 | Filed under: Alpha Hunters, Alpha Strategies, Institutional Investing, Portable Alpha & Alpha/Beta Separation, Risk management

For an investor allocating slots in its portfolio to hedge funds, the draw of recent outsized performance can be powerful. Thus, the temptation to chase winners. But two members of the Hedge Fund Strategies Group at Commonfund caution against it. Read More


Financial crisis put mutual funds, hedge funds and ETFs on a three way collision course

Sep 8th, 2010 | Filed under: Hedge Fund Industry Trends, Portable Alpha & Alpha/Beta Separation

A series of recent reports on the convergence in the asset management industry shows can alpha-seeking hedge funds and beta-seeking ETFs can make strange bedfellows - especially when they have a common enemy.Read More


Selling umbrellas in Times Square

Mar 9th, 2010 | Filed under: Portable Alpha & Alpha/Beta Separation

Portable Alpha has always been a convenient scapegoat for those who lost money in the stormy days of 2008. But now that the rain has gone, signs of balance and perspective are beginning to emerge.Read More


In portfolio management, sometimes the sum of the parts is greater than the whole

Nov 11th, 2009 | Filed under: Portable Alpha & Alpha/Beta Separation

It's not that active managers are using the wrong parts, it's just that they're using the wrong numbers of them, says this must-read document.Read More


Alpha being airlifted out of dying portable alpha strategies

Sep 23rd, 2009 | Filed under: Portable Alpha & Alpha/Beta Separation

Disenchanted with the beta portion of their portable alpha programs, several major public pension plans are now shunning the approach. But that doesn't mean they're turning their backs on absolute return strategies. Far from it... Read More


Funds of funds shown to be mostly beta – thus demanding a much greater allocation

Sep 13th, 2009 | Filed under: Portable Alpha & Alpha/Beta Separation

Usually hedge fund fund managers bristle at the suggestion that they "sell beta at alpha prices." If this is true, then fees will have to fall. But as a recent paper argues, volumes would also have to rise.Read More


Alpha/Beta “Separation” doesn’t actually require “separating” anything

Jul 28th, 2009 | Filed under: Portable Alpha & Alpha/Beta Separation

Whether they use portable alpha strategies or not, institutional investors are apparently demanding transparency about how much alpha and beta is contained in their existing funds. Read More


“Beta blockers” aim to reduce the blood pressure of those facing hedge fund gates

Jun 7th, 2009 | Filed under: Portable Alpha & Alpha/Beta Separation

Stressed about having your money locked up in a hedge fund? Just pop a few of these...Read More


Portable Alpha to be “reborn” according to author of new paper on the topic

May 14th, 2009 | Filed under: Portable Alpha & Alpha/Beta Separation

Portable alpha may have died last year. But according to at least one expert, it's about to be reborn.Read More


Did Pennsylvania take a wrong turn with portable alpha?

Dec 9th, 2008 | Filed under: Portable Alpha & Alpha/Beta Separation

After the announcement by Pennsylvania's state employees pension plan that it lost money on its portable alpha strategy, some are saying this is proof that portable alpha is "exotic and risky" and that its promoters are "thieves". We examine the validity of these claims.Read More


“Overlay hedging” in funds of funds improves alpha: Edhec

Oct 30th, 2008 | Filed under: Portable Alpha & Alpha/Beta Separation

A research paper by Edhec details a technique that might have helped some funds of funds navigate through this year's September from hell.Read More


Alpha Beta Separation: A separation of church and state

Sep 7th, 2008 | Filed under: Portable Alpha & Alpha/Beta Separation

Not since Martin Luther tried to nail a redemption notice on the door of his Cayman-domiciled convert arb manager has there been such a spiritual revolution in investing. Read More


Major pension drops longstanding traditional managers in order to divide alpha and beta

Aug 7th, 2008 | Filed under: Portable Alpha & Alpha/Beta Separation

It's a situation reminiscent of trying to dump your girlfriend or boyfriend before she/he can get a chance to dump you.Read More


Sweden’s AP7 pension fund reports on progress of alpha/beta retooling

Jun 30th, 2008 | Filed under: Portable Alpha & Alpha/Beta Separation

The pension community has been closely watching one of Sweden's national pension funds for clues about how a major re-org is going. Read More


Day one from the un-named event in London

Jun 2nd, 2008 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Portable Alpha & Alpha/Beta Separation

A meeting this week in London features the movers and shakers from the intersection of hedge funds and institutional investing. Read More


Thomas Friedman on alpha/beta separation

Jun 2nd, 2008 | Filed under: Portable Alpha & Alpha/Beta Separation

It turns out the forces shaping the asset management industry aren't that different from those facing the global economy.Read More


One of portable alpha’s originators says concept has evolved, in some cases, into something “vastly different”

May 11th, 2008 | Filed under: Hedge Fund Regulation, Portable Alpha & Alpha/Beta Separation

PIMCO's Chris Dialynas was one of the pioneers of portable alpha. But his Epilogue to a new book on the topic reflects his concern with the direction it has taken.Read More


Is “Active/Passive” another term for “Alpha/Beta”? Not quite.

Apr 24th, 2008 | Filed under: Portable Alpha & Alpha/Beta Separation

A new mutual fund offering borrows from portable alpha concepts. Will retail investors finally bite?Read More


Author of New Book: For more return without more downside risk “there are only two options”

Apr 23rd, 2008 | Filed under: Portable Alpha & Alpha/Beta Separation

A new book finally tries to bring it all together.Read More


Pennsylvania is also “Portable Alpha Country”

Apr 23rd, 2008 | Filed under: Portable Alpha & Alpha/Beta Separation

The Pennsylvania state employees are a little better off this year thanks to some bold investment moves.Read More


Portable alpha demoted to “low opportunity” in new survey of consultants

Mar 25th, 2008 | Filed under: 130/30, Portable Alpha & Alpha/Beta Separation

A new survey of investment consultants reveals a significant split between the views of large and small players. Read More


Passive managers spark space race with launch of new satellites

Mar 13th, 2008 | Filed under: Portable Alpha & Alpha/Beta Separation

Notwithstanding new evidence of its alleged fruitlessness, support for active management seems to be coming from an unlikely source: passive managers. Read More


Portable Alpha Theory & Practice

Feb 26th, 2008 | Filed under: Portable Alpha & Alpha/Beta Separation

Title: Portable Alpha Theory and Practice Author: Sabrina Callin Published: February 2008 From Publisher: While the interest in portable alpha has grown exponentially, few investors have a true appreciation for the risks and operational complexities associated with this investment application. By first mapping out the key components and evolution ofRead More


Hedge Funds shouldn’t fear “The Blob”

Feb 6th, 2008 | Filed under: Portable Alpha & Alpha/Beta Separation

A recent Bloomberg column suggests ETFs are a horror movie for both mutual funds and hedge funds. While mutual funds ought to be covering their eyes, hedge funds shouldn't be so scared. Read More


More on fixed income portable alpha

Feb 5th, 2008 | Filed under: Portable Alpha & Alpha/Beta Separation

In a December 2007 discussion paper, Franklin Templeton’s Australian fixed income group said it is seeing, “especially strong interest in the application of portable alpha to fixed income investing.”  (Prudential’s fixed income group and Morgan Stanley’s Portable Alpha team would likely agree.) The paper is solidly alpha-centric: “Portable alpha strategies, designed to isolateRead More


130/30 Experts: pick your compensation… “attractive”, “competitive”, or “outstanding”

Jan 22nd, 2008 | Filed under: 130/30, Portable Alpha & Alpha/Beta Separation

Three job postings reveal that 130/30 is as much about sales and education as it is about investing.Read More


New paper explains “muted demand” for portable alpha

Jan 3rd, 2008 | Filed under: CAPM / Alpha Theory, Fees, Performance, Analytics & Metrics, Portable Alpha & Alpha/Beta Separation

When arguments can be made that 130/30 investing and portable alpha are cousins, why then has 130/30 become the cat's meow and portable alpha growth is "muted"? Two academics have a theory.Read More


Swedish Pension Plan: Alpha-Beta Split = Investment “Creativity”

Dec 17th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

An official with one of Sweden's national pension funds told an audience last week that alpha-beta separation has led to more "creativity" on his team. His approach is clean and simple...like another Swedish innovation.Read More


Mutual fund company launches retail portable alpha funds based on “real” alpha

Dec 3rd, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

The term "exotic beta" still generates embarrased giggles when uttered outside the hedge fund industry. But one mutual fund company is trying to change that by applying hedge fund concepts to mutual fund analysis.Read More


Convergence at The Rockefeller Center

Nov 7th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

What if alpha didn't exist? Would that put a major kibosh on "portable alpha"? Apparently not. In fact, alpha may not even be that important to portable alpha after all.Read More


Blogger’s Notebook: “Portable Alpha & 130/30 USA”

Nov 7th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

For the 8th week in a row, Alpha Male finds himself eating conference Danishes and pre-package cream cheese for breakfast at "Portable Alpha & 130/30 USA".Read More


Alpha “Unleashed”

Oct 4th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

A new white paper from T. Rowe Price ties together portable alpha and alternative beta. Read More


CIO of $32b Swedish National Pension Fund: Portable Alpha Has “Merits” and “Risks”

Sep 9th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

In this guest posting, the CIO of one of five "buffer funds" in the Swedish pension system reflects on his experiences as a pioneer of alpha-centric investing.Read More


Deutsche Bank hedge fund-of-funds joins march on retail market

Aug 13th, 2007 | Filed under: Portable Alpha & Alpha/Beta Separation

Deutsche Bank recently announced the launch of a "portable alpha" product for retail investors - the latest in a steady flow of alpha-centric products hitting shelves during the recent market calamity. Read More


Conference proceedings amount to alpha-centric radar screen

Jul 15th, 2007 | Filed under: 130/30, Portable Alpha & Alpha/Beta Separation

A conference covering portable alpha, 130/30, LDI and related strategies has recently released its proceedings to the public. While they contain no new research, they show what's currently on the alpha-centric radar screen.Read More