Portable Alpha long, manager, already, explained

joehogue

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!

nannan66

Invest in a long short market neutral manager to get alpha, and then invest in another index future to get beta in that index....

bpdulog

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.