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portable alpha

Portable alpha

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Portable alpha is the return of an investment portfolio with zero market risk (beta). Being independent of both the direction and the magnitude of the market's movements, it represents the manager's skill in selecting investments. Elimination of the market risk can be accomplished by means of short selling and derivatives such as futures, swaps, and options.

See Alpha for a definition of alpha.

Here, 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.

The process of Portable Alpha is also sometimes referred to as Alpha Transport

. 06 Oct 11 | Uncategorized

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