The thirst for alpha has been hampered by the academic classical asset allocation model. Investors who believe in a portable alpha, truly believe that
A portable alpha strategy is a beta neutral portfolio that is implemented through an overlay or by strategic asset allocation. Within strategic asset allocation, a plan can have: 1) an outright allocation to portable alpha; 2) capital commitment to portable alpha strategies while using futures or swaps to maintain the existing overall asset allocation. Elimination of the market risk can be accomplished by means of short selling and derivatives such as futures, swaps, and options. Portable Alpha implies that the extra returns (alpha) can be separated from the changes of the market by hedging the market exposure of the portfolio. Portable alpha refers to the process of separating the alpha from the beta and then applying it to other portfolios.
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