Abstract
Derivatives can be used to transport the alpha from a manager9s selection of securities to virtually any desired asset class benchmark. The authors demonstrate that, by liberating the security selection return from the asset class return, alpha transport allows investors to find the best opportunities in both asset allocation and security selection. They also show how long-short portfolio construction can further enhance return by allowing managers to pursue the best investments in both “winning” and “losing” securities.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.