注册 登录
上一主题：Quant - Time management
下一主题：Relationship between Interest rates and foreign investment
返回列表 发帖
joehogue

Rank: 2

UID
222272 
帖子
301 
主题
72 
注册时间
2011-7-2 
最后登录
2014-6-28 
1# 跳转到 » 倒序看帖
打印
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!

 

相关主题：

. Active Manager Q

. Usefulness of the CFAI EOC Long Questions v.s MC Questions

. Work Issue

. Equity Quiz

. Delta Hedging Mental Block

收藏 分享

nannan66

Rank: 3Rank: 3

UID
218221 
帖子
525 
主题
107 
注册时间
2011-5-26 
最后登录
2012-9-12 
2#
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....

TOP

bpdulog

Rank: 3Rank: 3

UID
222299 
帖子
420 
主题
7 
注册时间
2011-7-2 
最后登录
2015-12-15 
3#
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.

TOP

返回列表
上一主题：Quant - Time management
下一主题：Relationship between Interest rates and foreign investment