lcai

Alpha beta separation must be done in places that have the ability to short futures. Most inefficient markets have too much unsystematic risk and limited ability to short the contracts.

i.e. me shorting the futures doesn't get rid of unsystematic risk of the companies involved or I can't short the futures.

i.e.2 I want to have alpha beta separation on Malaysian small caps, I can get the alpha from Malaysian small caps no problem via good manager but it is hard for me to separate out the alpha as I can't get rid of the beta.