Mass. PRIM Seeks Portable Alpha Managers

March 19, 2006

From FINalternatives:
The $51.8 billion Massachusetts Pension Reserves Investment Management Board is looking for firms to provide portable alpha fund of hedge funds services to the system, and has issued a request for proposals to search for qualified candidates.

The mandate is meant to build a complimentary lineup of fund of hedge funds to manage up to $600 million.

Source                                                                                                 ▲ top
 

Pursuing Alpha In A Well-Diversified IRA

March 17, 2006

From Yahoo! Finance:
Alpha has become one of the hottest investment concepts of the modern era, despite the fact it is often misunderstood by investors and sometimes misused by the investment industry. For example, you may hear investment managers (especially hedge funds) talk about an "alpha-generating fund". You also may see examples of funds that point to their benchmark-beating performance as evidence of the alpha they are creating. Fortunately, this concept is simpler than it sounds and, when implemented in a well-diversified IRA portfolio, can have tremendous benefits for investors who take the time to learn how to use it.

Source                                                                                                 ▲ top
 

All in pursuit of short supply alpha

February 11, 2006

From Financial Times:
The people who run funds of hedge funds routinely comment that there may be 15,000 hedge funds on the market, but only 150 or so make the grade. Presumably they are not the same 150 across the board, or the performance of funds of funds would be within a small range. Presumably, also, the qualifying 150 change over time, given that another standard observation is that hedge fund performance deteriorates after about three years.

But that still leaves only a relatively small proportion of the available hedge fund universe judged to be of sufficient quality by those in the know. Who judges the fund of fund managers? Is the ratio of quality to quantity a similar one? These are important questions judging by the opinions expressed in a survey by Watson Wyatt, in association with the Financial Times.

Source                                                                                                 ▲ top
 

Seeking Alternative Beta Instead of Nebulous Alpha

February 8, 2006

From Seeking Alpha:
Some investors tell Mark Armbruster his strategy's boring.

"But I think of it as powerful in its simplicity," said the Rochester, N.Y.-based advisor. "We don't focus on what's proven not to work, like timing markets. We think using decades' worth of academic research stacks the odds in our favor over time."

Source                                                                                                 ▲ top
 

Alpha investing: Super geeks

January 22, 2006

From Canadian Business Online:
If you’re in the market for investment advice, you’ll hear a lot about “alpha.” It’s a trendy term. Money managers brag about their ability to churn out alpha, a magazine called Alpha caters to hedge fund executives, and the Financial Times of London calls its investing blog Alphaville.

So what is alpha? The term comes from the geeky realm of financial theory—more specifically, from what’s known as the Capital Asset Pricing Model, or CAPM (pronounced cap-em) for short. The fi- nance professors who invented CAPM were looking for a unified theory to explain what makes the market tick. They argued that in a logical universe any investment’s expected return should be in line with its risk. Rational investors should demand a higher payoff from investing in dicey assets such as gold mining stocks than they do from holding boring, safe investments such as government bonds. On average, high risk should be reflected in high returns.

Source                                                                                                 ▲ top
 

Currency alpha performing well

January 22, 2006

From Global Pensions:
Pension funds may finally be reaping the benefits of currency alpha products, according to BNY Mellon Asset Servicing.

The SEB Mellon Currency Index, which measures pure currency returns, showed after a poor 2006, returns in 2007 were up to 1.05% net of fees and interest.

Source                                                                                                 ▲ top
 

Aberdeen alpha

October 15, 2006

From Financial Times:
Not so long ago Aberdeen Asset Management was a broken business, with its senior executives facing the regulatory gallows and a good portion of its clients ruined.

So it is probably fair to say that the three year turnaround under chief executive Martin Gilbert has been nothing short of miraculous.

Source                                                                                                 ▲ top
 

Vermont Seeks Portable Alpha Managers

October 12, 2006

From FINalternatives:
The Vermont Pension Investment Committee is seeking proposals from investment management firms to manage a portable alpha mandate for the Vermont State Retirement System’s $3.3 billion defined benefit pension plan.

The mandate for a Lehman Aggregate Index Portable Alpha Program will be for approximately $210 million.

Source                                                                                                 ▲ top
 

Climate Change and Alpha Commoditizing

October 11, 2006

From SeekingAlpha:
Roughly a year ago, I wrote a post discussing the concept of alpha (that rare and valuable thing) which becomes less rare and eventually commoditized into beta in time. Here’s a bit of what I said at that time:

Isn’t alpha supposed to be the returns from a strategy that is based on market inefficiencies? If so, then shouldn’t these market inefficiencies disappear as other players enter the field? This line of thinking is discussed in this paper available on SSRN:

Source                                                                                                 ▲ top
 

Alpha, Beta Measure A Stock's Volatility

October 8, 2006

From Investors.com:
You don't need to know Greek to be able to read and understand alpha and beta.

The two statistics are quick measurements of what you can expect from a stock in terms of volatility.

Source                                                                                                 ▲ top
 

Research and Markets : Active Alpha: A Portfolio Approach to Selecting and Managing Alternative Investments

October 2, 2006

From Yahoo! Finance:
Research and Markets (http://www.researchandmarkets.com/reports/c70212) has announced the addition of Active Alpha: A Portfolio Approach to Selecting and Managing Alternative Investments to their offering.

There is a developing trend among institutional investors to consider alternative investments (hedge funds, private equity, real estate, and hard assets) as a group of assets driven by a series of measurable return and risk factors. Heretofore, many investors have added these investments purely on the initial merits of diversification and return, without a sophisticated approach to integrating them into a risk budgeting and portfolio construction process. However, there is a much richer way to conduct this implementation using factor and cash flow analysis, to identify common investment and structural factors and more accurately understand the correlations among these investments. This understanding will lead to far more accurate portfolio construction with fewer redundancies and greater efficiency. Benefits from this include more precise answers to how much of each alternative asset class should exist in a traditional portfolio, in what combinations, and how rebalancing should be conducted based on forward-looking favor views combined with current factor exposures for each alternative investment. Answers to these provide a roadmap with quantitative and qualitative underpinnings for the migration of traditional investors to the nirvana that they see but have yet to organizationally attain, which is exemplified by sophisticated endowments such as Harvard University and Yale University.

Source                                                                                                 ▲ top
 

Translating skill to superior investment outcomes

September 26, 2006

From MoneyManagement.com.au:
Total investment return outcomes are driven by market exposure as well as (potential) alpha.

Strong investment markets help to deliver outcomes that meet investor return expectations.

Alpha, the value added by skilful active investment management in addition to relevant market exposure, is useful in expanding these return outcomes, especially so when market returns are lower or more volatile.

Source                                                                                                 ▲ top
 

The Portable Alpha Handbook Profiles the Fastest Growing Areas of Investment Management

September 24, 2006

From BusinessWire:
Research and Markets (http://www.researchandmarkets.com/reports/c69329) has announced the addition of “Portable Alpha Handbook” to their offering.

The Portable Alpha Handbook was published as a response to the immense surge of interest in one of the fastest growing areas of investment management today, you can be sure that this Handbook will only contain exclusive research from the professionals that matter, the companies that matter and that our readers will benefit directly from our efforts to unravel the hype behind portable alpha.

Source                                                                                                 ▲ top
 

Fidelity's Alpha Managers

July 19, 2006

From Forbes:
As our mid-year manager rankings of Fidelity stock and bond funds reveal, Fidelity managers are, as a whole, back on the out-performance track. Call them the "alpha" fund managers. More than two-thirds of Fidelity's diversified growth fund managers are beating their market benchmarks so far this year.

More than 80% of Fidelity's international fund managers are doing likewise. And more than half of the Select fund managers are also fairing well--a key group, as you know, since this is the proving ground prior to taking on the brass ring of a larger, diversified fund. On the fixed-income side of the fence, Fidelity continues to exhibit what we've discussed in detail time and again: It has some of the best bond fund managers, bar none.

Source                                                                                                 ▲ top
 

Are China's hedge funds delivering alpha?

July 18, 2006

From AsianInvestor.net:
Not surprisingly, the strong gains made by China’s equity indices over the last 18 months have been reflected in the performance of China-oriented hedge funds.

Similar spectacular returns have also been recorded by exchange-traded funds and mutual funds, which raises the question: is it worth paying base and performance fees of up to 22% to a hedge fund manager? Are hedge funds in China delivering alpha and decent risk-adjusted returns, or are they a bunch of closet index trackers?

Source                                                                                                 ▲ top
 

'Alpha Hunters' war with 'Beta Builders'

July 2, 2006

From MarketWatch:
Warning: Wall Street's high-tech "Alpha Hunters" (benchmark beaters) are in an aggressive psychological war with America's 95 million Main Street investors, the "Beta Builders," average folks who are happy with portfolios that match the market averages.

Strip away all the esoteric rhetoric about Modern Portfolio Theory, the Capital Asset Pricing Model and Efficient Market Hypothesis and you'll see that Peter Bernstein's brilliant new book, "Capital Ideals Evolving," is the perfect combat training manual for these Alpha Hunters in a war worth over $200 billion annually to Wall Street.

Source                                                                                                 ▲ top
 

Alpha Dialogue Advisors to Host the 1st Alpha Investment Forum (Japan)

July 1, 2006

From EarthTimes.org:
Alpha Dialogue Advisors, LLC, a NY and Tokyo-based consulting firm specializing in independent, cross-border capital introductions, strategic investor relations, investment forums and market intelligence research announced today that it will host the 1st Alpha Investment Forum Japan (http://www.alphaforums.com/) on Tuesday, July 10th in Tokyo, Japan. Alpha Dialogue has already conducted three forums in New York this year. The investor-only, invitation-only Japan forum seeks to provide an independent platform where the Japanese institutional investors can network with and research the quality alternative investment managers from overseas.

According to Alpha Dialogue's Japanese institutional investors survey conducted in February 2007, the majority of Japanese investors have access to merely less than 10% of the approximately 10,000 hedge fund universe worldwide. The firm attributes its launch of Alpha Investment Forum to the investors' strong demand for direct interaction and knowledge exchange with the quality foreign managers. (For the survey details, see the firm's article in the June 2007 issue of Criteria's "Alternative Investment" magazine.)

Source                                                                                                 ▲ top
 

Enhanced index tips over $10bn

June 19, 2006

From The Financial Standard:
State Street Global Advisors’ Global Index Plus strategy has attracted more than $10 billion in funds under management, clocking more than a billion each year since launch, as more super funds shift their money from ‘vanilla’ index portfolios to those with 'alpha' returns.

Global Index Plus (GIP) uses an ‘active enhanced’ index approach meaning they use quantitative techniques to build portfolios that mimic benchmarks but including a filtering process that puts more investments in the top stocks within each country and industry while maintaining the risk profile of an index strategy. Since the product’s 2000 launch, returns have ranged from 0.61 per cent to 2.14 per cent above benchmark before tax and fees.

Source                                                                                                 ▲ top
 

St. Louis school fund to look at portable alpha

June 18, 2006

From Pensions & Investments:
St. Louis Public School Retirement System officials will hear a presentation on portable alpha strategies by consultant New England Pension Consultants, according to the agenda for its Thursday investment committee meeting. NEPC will discuss the possibility of inviting several money managers that offer the portable alpha investment strategy to a future investment committee meeting. Andrew Clark, executive director for the $1.1 billion pension fund, was not available to provide further comment at press time.

Source                                                                                                 ▲ top
 

Goldman's negative alpha

May 30, 2006

From BloggingStocks:
The Goldman Sachs Group's (NYSE: GS) Global Alpha Hedge Fund has lost 3.4% of its value so far in 2007, according to Bloomberg News.

It sure sounds smart to use Greek letters in the name of your hedge fund. Those who have taken basic finance know that the Greek letter Beta refers to the extent to which an investment's return varies with the market's rate of return; whereas Alpha denotes returns in excess of the market rate. That -- and the dual meaning of Alpha as the top dog -- is why the hedge fund industry's leading magazine is called Alpha.

Source                                                                                                 ▲ top
 

First Trust places a wager on the alpha craze

May 29, 2006

From InvestmentNews:
First Trust Advisors LP is betting that investors will want exchange traded funds that seek alpha.

The Lisle, Ill.-based firm launched 16 ETFs this month pegged to AlphaDEX indexes, designed to better their benchmarks. But claiming to be able to deliver alpha via an ETF — although somewhat controversial — is nothing new, according to some financial advisers and industry watchers.

Source                                                                                                 ▲ top
 

130/30 Funds: More Asset Gathering Than Alpha Generation

May 8, 2006

From SeekingAlpha:
I've remained silent for some time about this latest marketing tool engineered to separate people from their money. And we know it's all about the money, right? Or is it about alpha? Hmm, I'm not sure.

Anyway, it's not that there is anything inherently wrong with running a (hedge) fund - call it what you will - 130 long and 30 short. It's just that calling it "revolutionary" or "new" is silly beyond belief. And this blurb from Saturday's New York Times just pushed me over the edge; "Hedging Hedge Funds." Are you kidding me? "Hedge Funds and Adverse Selection" is more like it.

Source                                                                                                 ▲ top
 

Small Investors: Beating the Market

May 7, 2006

From SeekingAlpha:
I'm going to try and begin to answer the existential question: How can I possibly hope to beat the market, when "the market" consists of professional money managers with resources far exceeding my own?

Every active investor should ask themselves this question: the answer will either make you a better investor, or save you a lot of time and money if you are humble enough to realize that you're like the majority of mutual fund managers who would be better off not trying, and should be indexing their portfolios instead.

Source                                                                                                 ▲ top
 

BlackRock points Absolute Alpha at fund platforms

April 17, 2006

From Citywire:
BlackRock is planning to move the ML UK Absolute Alpha fund managed by Citywire AAA-rated Mark Lyttleton to daily pricing to allow it to sit on fund platforms.

The fund, which was launched in May 2005, aims to achieve absolute returns throughout the market cycle but its use of derivatives means that it has been structured with valuations which occur once every two weeks. While the fund has attracted assets of over £100 million since launch it has not featured on any fund platforms.

Source                                                                                                 ▲ top
 

Hedge funds have lost 'alpha,' Merrill director says

April 17, 2006

From MarketWatch:
Merrill Lynch & Co. managing director Heiko Ebens had an awkward message for hedge fund managers and investors attending the 2007 MARHedge conference in San Francisco on Tuesday.

"Alpha has essentially disappeared" from the hedge fund industry, said Ebens, who heads equity derivatives strategy for Merrill in the U.S.

Source                                                                                                 ▲ top
 

Casey Quirk Report Lists Portable Alpha, LDI, 130/30 As 'Up and Coming'

April 10, 2006

From SeekingAlpha:
Consultant Casey Quirk and database provider eVestment Alliance published their “2007 Consultant Search Forecast” last week.

In a clear reaffirmation of our mission at AllAboutAlpha.com, the report listed portable alpha, liability-driven investing and 130/30 as “up and coming” while it listed hedge funds as “highest opportunity”

Source                                                                                                 ▲ top
 

ALPHA DOGS

April 2, 2006

From FMNN:
God must love typical investors; he created so many of them. But he cursed the poor yahoos to mediocrity. They can't get 'alpha' (above market performance), say the theorists, because they can never know as much as the market itself.

For the average investor, it is true; he can do no better than average. Match his little wits against 'the market'? Don't make us laugh.

Source                                                                                                 ▲ top
 

Why Hedge Fund Regulation is All About Alpha

January 30, 2006

From SeekingAlpha:
“Alpha-centric investing” refers to more than just “portable alpha”. As we have reported on this blog, it encapsulates new operational infrastructures [UMAs], new fee arrangements (performance fees with benchmark hurdles / fee-per-alpha), new metrics (ranking funds based on alpha instead of absolute returns), new organizational structures (small teams of alpha producers), and new advisory models (fee-based vs. commission-based). A recent investment newsletter highlights another domain that is impacted by this simple idea: regulation.

In his January 26th weekly newsletter “Accredited Investor” author John Mauldin covers the SEC’s proposed new hedge fund investment eligibility rules (which, as an aside, come attached to new anti-fraud provisions that confirm it is still illegal to break the law).

Source                                                                                                 ▲ top
 

Optimal Alpha: Beyond Portable Alpha

January 29, 2006

From