Portable alpha and beta for long/short equity managers

Portable strategies

While stock-picking strategies are, in principle, meant to exploit evidence of predictability in individual stock-specific risk, equity managers, as a result of their bottom-up security selection decisions, often end up making discretionary, and most of the time unintended, bets on market, sector and style returns as much as they make bets on individual stock returns.

These unintended bets are unfortunate as they can have a dramatic impact either way on the portfolio return, and their presen