Portable alpha

Sponsor Statement

Risk: How would you define portable alpha?Stuart Pyott: First, let’s define alpha. This is the fund manager’s‘value added’ – in other words, the portfolio return over andabove that predicted by the capital asset pricing model. This iskey – just because a portfolio generates an excess return over thebenchmark, it doesn’t follow that a fund manager has generatedpositive alpha. It could be that the increased return is merelycommensurate with increased risk, either through leveragedbeta and/or

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here