How to get the overall returns you want, where you want
Sara Hedberg, senior vice president of Financial Risk
Management, defines portable alpha and discusses how to find
alpha and transport it
There has been a lot of ink spilled on the
subject of portable alpha. Academia and the industry press are
filled with various definitions of alpha, beta, exotic beta,
alternative beta and passive alpha all of which refer to
things that can be mixed and matched, ported and transported,
over and under each other. There is more than sufficient
discussion to muddle the concept, which in reality is
relatively simple to understand and execute.
Here we aim to clear away the fog by providing a
straightforward explanation of portable alpha in three parts.
First, we define the concept. Next, we provide a practical
example of a portable-alpha solution. Finally, we detail the
characteristics of optimal alpha...