thommo77

markCFAIL wrote:
I think both have the POTENTIAL to beat the benchmark, given that both can slightly deviate risk factors (other than duration).  Actually i think enhanced index has the highest IR of all strategies if i remember correctly.
I believe you are correct as well.  The generation of alpha at almost no additional risk results in a superior IR.  In the real world, I have seen quite a few enhanced index strategies generate negative alpha and have an IR inferior to that of the index they are designed to outperform.