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bpdulog

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发表于 2011-7-11 19:46 | 只看该作者
1. Sure, you could. But say this agregate 100% is your domestic equity portfolio. Out of your domestic equity you gave 70% to index, 10% to MGR1 and 20% to MGR2. If MGR1 is running a long short domestic equity fund, the tracking error is going to be high. It might be ok with you, if he is creating enough alpha but it is a consideration.

2. Yes, but manager 1 and 2 do not need to be running beta neutral portfolios, just active.

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Analyze_This

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12#
发表于 2011-7-11 19:46 | 只看该作者
Core + Satellite is more similar to Completeness Fund ?

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oneboy

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13#
发表于 2011-7-11 19:46 | 只看该作者
kurmanal Wrote:
-------------------------------------------------------
> So alpha-beta separation is a specific case of
> core-satellite approach. Would it be correct to
> state this way? or these are totally and
> completely different concepts? or should I just
> forget about these unimportant differences and
> take my online sample test?


Nope. Alpha beta separation is an asset management technique. Core satelite is an asset allocation technique at the "sponsor" level. So core-satelite has to do with how the sponsor allocates assets, tracking error, etc.

ABC hedge fund is a long short manager that buys undervalued equities and shorts over valued equities and maintains a beta of zero. - - - This is alpha beta separation

Ford Motor Company Pension Investment Committee allocates 50% of the small cap value portion of their portfolio to Vanguard Small Cap Index and the other 50% is allocated equally to 5 active small cap managers - - - This is core-satelite

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NakedPuts2011

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14#
发表于 2011-7-11 19:46 | 只看该作者
Alpha-beta seperation : 2 Alpha + 1 Beta ?

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