For a post-Covid world, quant fund revives a contentious idea

Supercharged returns: quants hope to boost alpha by using overlays

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Quants at QMA, the $106 billion quant equity and multi-asset arm of US investment giant PGIM, think the outlook for investors with typical stock-bond portfolios is about the worst it’s been in a decade. So the firm has dusted off an old but contentious idea: ‘porting’ alpha from racier strategies into more run-of-the-mill portfolios.

So-called ‘portable alpha’ overlays – which QMA has begun pushing in recent months – employ derivatives to mimic part of an investor’s stock and bond positions

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