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Active Alpha: A Portfolio Approach to Selecting and Managing Alternative Investments

by Alan H. Dorsey

ISBN13: 9780470174319
ISBN10: 0470174315
Format: eBook
Copyright: 2007-10-01
Publisher: Wiley

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1. Active Alpha: A Portfolio Approach to Selecting and Managing Alternative Investments > ISBN13: 9780470174319

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Summary

Praise for Active Alpha "Active alpha is the quest for every sophisticated investor. This book covers all of the key alpha sources currently mined by active managers, reduces the complexity of the subject, and helps the investor get started in the right direction." -Mark Anson, Chief Executive Officer, Hermes Pensions Management Ltd. "Long-held traditional methods for investing large portfolios are giving way to new processes that are designed to improve productivity and diversification. These changes find their locus in the sometimes overly mysterious world of absolute return strategies. In this book, Alan Dorsey demystifies that new world and provides a guiding pathway into the future of professional portfolio management. This is an important read for any investor who plans to succeed going forward." -Britt Harris, Chief Investment Officer, Teacher Retirement System of Texas "With great lucidity, Alan Dorsey's book, Active Alpha, fills an important void by identifying the relevant institutional features of this complex subject and by providing a unifying analytic framework for understanding and constructing portfolios of alternative assets. For anyone investing in the alternative class, from the new student to the experienced practitioner, Active Alpha is a necessary read. I am recommending it to everyone I know with such an interest, and it is destined to become a much thumbed reference on my shelf." -Steve Ross, Franco Modigliani Professor of Financial Economics, Sloan School, MIT

Preface
Acknowledgments
About the Author
Alternative Investments and Investors
Introduction
Integration of Alternative Investments and Traditional Asset Classes through Factor Analysis
Approaches to Portfolio Construction
The Identification of Alpha and Beta in New Investment Strategies
What the Future Holds
Summary
Investors in Alternative Investments and the Necessary Ingredients for a Successful Program
Types of Investors and Their Approaches to Alternative Investments
The Necessary Ingredients for a Successful Alternative Investment Program
Support from Investment Management Firms and Consultants
Investors Deciding To Minimize the Use of Alternative Investments
Summary
Hedge Funds
Performance and Diversification Attributes
Market Segmentation
Hedge Fund Strategies
The Construction of a Segregated Portfolio of Hedge Funds
Summary
Private Equity
Performance and Diversification Attributes
Dispersion of Returns
Private Equity Strategies
The Construction of a Segregated Portfolio of Private Equity
Summary
Real Estate
What Is the Attraction?
Real Estate Strategies
The Construction of a Segregated Portfolio of Real Estate
Summary
Currency, Commodities, Timber and Oil & Gas
The Qualitative Determinant of Returns
The Attraction of Currency
The Attraction of Commodities
Currency and Commodity Strategies
The Attraction of Timber
Timber Strategies
The Attraction of Oil & Gas
Oil & Gas Strategies
The Construction of a Segregated Portfolio of Currencies, Commodities, Timber and Oil & Gas
Summary
Alternative Investments in Traditional Portfolios
The Migration of Hedge Funds into the Private Equity Realm
Are Hedge Funds Gaining Market Share from Private Equity?
How Well Suited Are Hedge Funds To Private Equity Investments?
The Power of Compounding
A Comparative Advantage for Private Equity
The Fee Differential between Hedge Funds and Private Equity
Alternative Investment Fee and Term Components
Summary
Cash Flow Forecasting and its Implications for Rebalancing
Alternative Investment Cash Flow
Asset Allocation
Achieving Policy Targets and Rebalancing
Cash Flow Forecasting Tools
Portfolio Rebalancing Tools
Summary
Leverage and Portable Alpha
Leverage
Portable Alpha
What Is Portable Alpha?
The Benefits and Issues with Portable Alpha
Reevaluating the Premise for Portable Alpha
The Use of Hedge Funds in Portable Alpha
Alternative Thinking about Alpha
Summary
Factor Analysis
The Rationale
Marketplace Changes That Warrant Factor Analysis
The Asset Class Concept
Alternative Investments and Factor Analysis
Problems with Selecting Vehicles for Alternative Investment Portfolio Construction
Quantitative Building Blocks
Risk Budgeting Using Factors
Beyond Traditional Asset Class Risk Budgeting
Qualitative Independent Variables
Illiquidity Factor
Summary
Factor Analysis
The Findings and Discovering Active Alpha
Time Series Delineation and Issues
Mean Variance Optimization
Problems Using Mean Variance Optimization with Alternative Investments
Regression Analysis with Alternative Investment Factors
Regression Analysis Results and Observations
Problems with Conducting Regression Analysis on Alternative Investments
Factor Optimization
Active Alpha vs. Passive Alpha
Pr
Table of Contents provided by Publisher. All Rights Reserved.

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Rent More, Save More! Use code: ECRENTAL

Rent More, Save More! Use code: ECRENTAL

5% off 1 book, 7% off 2 books, 10% off 3+ books

Active Alpha: A Portfolio Approach to Selecting and Managing Alternative Investments

Summary

Table of Contents

Supplemental Materials

Rewards Program