Portable Alpha Strategies Offer Greater Scope

Journal of the Securities Institute of Australia (JASSA), No. 4, Summer 2001

Posted: 19 May 2003

See all articles by Martin Gold

Martin Gold

Sydney Business School, University of Wollongong Australia

Paul Ali

University of Melbourne - Law School

Abstract

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

Gold, Martin and Ali, Paul, Portable Alpha Strategies Offer Greater Scope. Journal of the Securities Institute of Australia (JASSA), No. 4, Summer 2001. Available at SSRN: https://ssrn.com/abstract=300285

Martin Gold (Contact Author)

Sydney Business School, University of Wollongong Australia ( email )

Level 8, Gateway Building
I Macquarie Place
Sydney, New South Wales 2000
Australia
+61 2 9266 1300 (Phone)

Paul Ali

University of Melbourne - Law School ( email )

University Square
185 Pelham Street, Carlton
Victoria, Victoria 3010
Australia
+61 3 8344 1088 (Phone)
+61 3 8344 5285 (Fax)

HOME PAGE: http://www.law.unimelb.edu.au

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