This paper focuses on how portable alpha can be applied by investing portfolio assets with a manager that can generate alpha and using index derivatives to acquire the desired beta exposures. Included is a discussion on implementation strategies, identifying and measuring alpha, diversification, leverage, and liquidity. Exhibits show a hypothetical example for using portable alpha,…
Yield curve movements since June 2004 have shown how difficult it is to forecast—let alone explain—the twists and turns of interest rates.
U.K. equity valuation metrics provide mixed signals, but suggest that the market is close to fair value unless one assumes a rather dramatic decline in earnings just over the horizon.
U.S. investors that maintain a home bias should cast a wider net.
While a continued rally is not our base scenario, a plausible argument can be made that U.S. equities are attractively priced and thus poised to move higher.
The Royal Dutch/Shell merger will make the already top-heavy FTSE indices even more concentrated.
A look at the performance history and valuations of style indices.
As assets under management grow, investment flexibility is limited and managers must make choices. How much money can investment managers take in before the ability to add value fades away to market returns minus fees?
With real yields of just 1.6%, ten-year U.S. TIPS are currently an expensive inflation hedge.
Linkers look expensive at current yields.