This expansive report discusses our approach to strategy allocation by providing the basic framework for allocation decisions, the key return drivers and investment backdrops in the core marketable alternative strategies, and recommendations for program construction. It also contains a performance review of the five core marketable alternative strategies: long/short equities, distressed securities, convertible arbitrage, merger…
The rapid growth and maturation of the hedge fund industry has sparked a debate about the role of marketable alternative investments in institutional portfolios. This report is examines whether the growth and maturation of the industry has made marketable alternative investments less compelling, explores other trends that are transforming the competitive landscape in the industry,…
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,…
This short paper examines the bubble environment caused by billions of dollars flowing into hedge funds in 2001 and suggests possible sources of value added. Particular emphasis is given to the convertible arbitrage, merger arbitrage, distressed, and long/short equity subcategories.