I thought they were the same, but it this were asked on the exam, here is the bull-$#!% I'd write:
Alpha Beta separation applies at the micro level. For example a market neutral fund could add beta exposure with index futures.
Portable alpha is a strategy employed at the macro level. For example a DB pension plan sponsor might hire a long short manager to generate alpha of 350 bps and combine this with a passive strategy that tracks some index.
By definition: Portable alpha - alpha available to be added to a variety of systematic risk exposures.
Long only investors have exposure to both beta (makret return) and alpha (mgr skill)
Alpha beta separation - investor gains an exposure to beta (zero alpha) thru a low cost index fund, and add an alpha thru a long short market neutral portolio (assuming zero beta although but not necessary). Alternatively the investor may just want to employ a market neutral long short manager to generate the alpha which is an example of portable alpha i.e. alpha available to be added to a variety of systematic risk exposures.
A-B separation is a long/short strategy and a long index future on the same index. Rational being you can spit the job between cheap for the basic and expensive for the more advanced investment expertise.
Portable alpha is very similar, only your long/short strategy is in the Timbuctoo equity index, and your beta investment comes a little closer to home
发表于 2011-7-13 13:22
| 
