Portable Alpha Strategies Offer Greater Scope
Journal of the Securities Institute of Australia (JASSA), No. 4, Summer 2001
Posted: 19 May 2003
Transporting the alpha generated from an active strategy to an index-tracking fund is gaining global acceptance. It is a concept that challenges the conventional notion that the bulk of portfolio returns are derived fom asset allocation.
In this article published by the Securities Institute of Australia, the authors examine the evolution of these strategies in the face of converging market portfolios and competitive fee pressures.
The article provides a practical example of how a portable alpha strategy can be structured by overlaying an alpha generating Australian equity fund with a strategy that tracks a US equity benchmark using synthetic exposure.
The article also discusses portable alpha strategies in the context of the legal duties owed by superannuation fund trustees and other investment fiduciaries.
Keywords: portable alpha strategies, fiduciary investments, enhanced indexing, synthetic exposure
JEL Classification: G23, K22
Suggested Citation: Suggested Citation