Having discussed the practicalities of setting up
a portable alpha programme, what costs is one likely to incur
along the way?
Niki Natarajan, InvestHedge
The next big question on every pension fund's mind will be how
much does all of this cost?
Elise Hubsher, Northwater Capital
Cost is dependent upon how alpha is isolated and the
beta destination for porting. The more liquid betas are less
costly than narrowly defined or customised betas.
For example, at this point in time, investors can receive
S&P 500 return through a swap at around LIBOR +5 basis
points, a cheap source of beta indeed. While swaps on more
customised equity indices or hedge funds themselves might be
"What's the cost of all this today? Start with
five basis points for the cost of the swap and five for
managing the swap"
Government bonds and mortgages have even traded at...