Active Alpha: A Portfolio Approach to Selecting and Managing - download pdf or read online

By Alan H. Dorsey

ISBN-10: 0471791326

ISBN-13: 9780471791324

Compliment for energetic Alpha''Active alpha is the search for each refined investor. This e-book covers the entire key alpha resources at the moment mined through lively managers, reduces the complexity of the topic, and is helping the investor start within the correct direction.''-Mark Anson, leader govt Officer, Hermes Pensions administration Ltd.''Long-held conventional tools for making an investment huge portfolios are giving option to new procedures which are designed to enhance productiveness and diversification. those alterations locate their locus within the occasionally overly mysterious international of absolute go back concepts. during this booklet, Alan Dorsey demystifies that new global and gives a guiding pathway into the way forward for expert portfolio administration. this is often a huge learn for any investor who plans to be successful going forward.''-Britt Harris, leader funding Officer, instructor Retirement process of Texas''With nice lucidity, Alan Dorsey's e-book, energetic Alpha, fills an incredible void by way of choosing the appropriate institutional beneficial properties of this complicated topic and through delivering a unifying analytic framework for realizing and developing portfolios of different resources. For somebody making an investment within the substitute classification, from the hot pupil to the skilled practitioner, lively Alpha is an important learn. i'm recommending it to every body i do know with such an curiosity, and it really is destined to turn into a far thumbed reference on my shelf.''-Steve Ross, Franco Modigliani Professor of monetary Economics, Sloan university, MIT

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Extra info for Active Alpha: A Portfolio Approach to Selecting and Managing Alternative Investments

Sample text

The use of international equities and foreign sovereign bonds for currency diversification, either in a long-only strategy or an alternative investment format, can provide a benefit in these instances. Endowments and Foundations The process used by endowments and foundations for implementing alternative investments tends to be idiosyncratic. These investors often rely heavily on either their trustees or a group of investment staff members with strong skills in alternative investments. In either the case of heavy trustee or staff reliance, one common theme tends to be strong decision making in the hands of a focused group of individuals with experience in alternative investments.

The traditional quantitative approach to asset allocation using mean variance analysis has certain limitations when applied to 30 ALTERNATIVE INVESTMENTS AND INVESTORS alternative investments (see Chapter 10). Nevertheless, this technique still can be a relevant tool for use during an initial asset allocation process. Effective asset allocation requires forward-looking views for asset classes or the factors that drive them. These views pertain to expected returns, volatility of returns, and correlations between each asset class.

Again, the complexity for acting on this in a short time frame is similar to the complexity of enacting tactical rebalancing, which includes the illiquid nature of alternative investments. One way to accomplish this is through liquid proxies that can be purchased or sold in an effort to rebalance factor exposures on a short-term basis. When factor risk premiums change in a rapid fashion, that is exactly the time to rebalance in order to take advantage of momentary market lapses. A high frequency of rebalancing is not within the capabilities of most investors.

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Active Alpha: A Portfolio Approach to Selecting and Managing Alternative Investments by Alan H. Dorsey

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