Are there any downsides to using portable alpha
and how can investors new to the are avoid any possible
Niki Natarajan, InvestHedge
One question that all investors are asking is, what
are the risks?
John Stevens, GMAM
For me, the conversation about portable alpha is
really a conversation about risk budgeting, and the separation
of alpha from beta is embedded in that process.
The continuing challenge for every investor is to understand
the types of risk that are really being taken. At GMAM, we
continually strive to improve our risk management process
including the creation of a database containing weekly hedge
fund returns and market data to determine if managers' beta
exposures are more significant than previously thought.
Niki Natarajan "What are the risks?"
It is also important to track risk exposures over time
because of the variability of fund betas and correlations in
different market regimes. These sensitivities...