Abstract
Asset management techniques are consistently evolving and there has been an intense debate concerning alpha and beta and how to separate the two. This article presents a new asset management setup which originates from theory and that separates alpha and beta. The setup has been applied at the Seventh Swedish National Pension Fund and the article includes empirical evidence from applying this asset management technique, known as alpha-beta-separation, for a Swedish equity mandate. The results from the new management model show not only significant improvement in portfolio performance, but also a more transparent and cost efficient portfolio structure.
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