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joehogue

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tT
发表于 2011-7-13 13:41 | 只看该作者

Portable Alpha

long, manager, already, explained
I know someone explained this already but I can't find the thread.

Can someone please summarise how you create portable alpha? If you invest in a long index fund manager that has both alpha and beta, then how would you create portable alpha? Does it mean you want to end up with zero alpha & non-zero beta?

Help please! Thanks!
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nannan66

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发表于 2011-7-13 13:41 | 只看该作者
Invest in a long short market neutral manager to get alpha, and then invest in another index future to get beta in that index....

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bpdulog

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发表于 2011-7-13 13:41 | 只看该作者
The underlying idea is that the long/short market neutral manager has eliminated exposure to beta and there are two sources of alpha. You can overlay this with an index future as mentioned above to get exposure to beta. So you can have alpha from a european market say, and beta from a US market .... that's the motivation for having two strategies.

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