With investors looking to separate their alpha and beta bets, portable alpha strategies are becoming a favorite of the pension crowd -- and money managers are trying to develop new products to meet the growing demand.
在便携式alpha策略中，投资者在alpha和beta中进行单独投资，使用被动方法 - 市场曝光从指数基金，期货或换回和对冲基金等高alpha产品的组合进行。养老基金可能会获得股票的股票股票，例如，通过使用500万美元购买掉期或期货，这些股票或期货数量的数量多次。然后，它将使用剩余的9500万美元的计划资产来投资，例如，旨在提供纯粹alpha的对冲基金。它必须是纯粹的：对于alpha完全分开与β完全分开，随着策略要求，对冲基金经理必须无关紧要。
传统上，机构投资者通常在专业顾亚博赞助欧冠问或货币经理的帮助下定制设计自己的便携式alpha策略。计划赞助商通过指数期货或互换建立了市场曝光，维护合同并将其取代，因为它们到期。赞助商还选择了符合计划其他资产的回报的alpha，然后雇用并监视它可以找到的最佳管理人员，从而判断他们回报的相对波动以及管理者如何与他们的市场相关联的方式其他。该程序与现有组合构建到燕尾榫。
Some money managers, including Putnam Investments, now plan to prepackage their portable alpha strategies into conventional commingled funds. Here the money manager creates the beta, supplies the alpha (or outsources the job to another asset manager) and handles all the investing mechanics. Asset managers hope that these off-the-shelf portable alpha strategies will appeal to pension plans that are either too small to justify the costs of a custom-made program or lack the expertise to confidently deploy the strategy.
David Saunders，康涅狄格州斯坦福德的35亿美元基金顾问K2顾问K2顾问报告称，他的公司正在研究两个预先包装的便携式alpha产品，一个与传统的对冲基金alphas，以及使用主动货币管理添加价值。
“你必须期待这种进化，”Rocaton投资顾问的合伙人，诺沃克，诺沃克，康涅狄格州咨询公司诺沃克的合伙人。“大型机构有很多想要投资这些战略的客户，如果他们没有建立这些产品，那么客户将前往专业公司。”
迈克尔•曼宁president of Cambridge, Massachusettsbased New England Pension Consultants, reports that his firm is working with portable alpha managers (he declines to offer names) to transform custom-made strategies into sponsor-friendly commingled vehicles.
没有人真正知道在便携式alpha策略中投入了多少。它难以定义市场，因为我们通过期货职位发生了很多投资。此外，一些赞助商管理中的计划，这些投资的金额往往是未知的。但专家估计，市场总计至少1250亿美元。
最古老的便携式alpha产品是太平洋投资管理有限公司的19岁odgetsplus，300亿美元的控制风险增强指标战略，将从短期债券市场绘制的Alpha组件增加到标准提供的β穷人的500个指数期货。自从纽波特海滩推出以来，加利福尼亚州的PIMCO介绍了商品和房地产的贝拉介绍了几种分支策略;他们在资产额外100亿美元中卷入了卷烟。
Bridgewater Associates of Westport, Connecticut, manages $25 billion in portable alpha strategies. Other portable alpha managers include Pasadena, Californiabased Western Asset Management Co. and New Yorkbased BlackRock, which each offer products similar to Pimco's StocksPLUS, with assets of $5 billion and $2 billion, respectively. Benchmark Plus Partners of Tacoma, Washington, manages a $1.3 billion strategy drawing alpha from a 30-manager fund of hedge funds.
Most sponsors began to think about portable alpha only after the tech stock bubble burst. After all, in the late 1990s pure beta was plentiful, with the S&P 500 returning an average annual 26 percent from January 1, 1996, to December 31, 1999. But with ten-year Treasury bonds now yielding less than 4 percent and U.S. equities delivering only tepid returns, investors have a much stronger interest in alpha, notes Michael Purvis, head of risk management at New Yorkbased Blackstone Alternative Asset Management. Says Purvis, "When bonds are yielding 4.5 percent and stocks are not much better, and plans need 7 or 8 percent, there's an increased interest in alpha."
Pimco's StocksPLUS, which has pulled in more assets than any of its rivals, differs in several respects from its competition. First, rather than seek the several hundred basis points that more aggressive strategies insist on, StocksPLUS delivers an enhanced equity index return -- beating the S&P 500 by 90 and 92 basis points, respectively, for the five- and ten-year periods ended March 2005. Second, StocksPLUS handles all the trading and settlement gymnastics the strategy demands; for many of its rivals, those jobs are left to the sponsor. "People say beta should be free, but there are a lot of important details," notes Sabrina Callin, product manager of StocksPLUS.
1989年推向市场，BridgeWater的便携式alpha产品比Stocksplus更具侵略性，达到更大的风险和返回并使其alpha的来源多样化。该公司自塑造其称为纯粹alpha的产品，进入标准化的产品。BridgeWater的客户选择了26个不同的基准，以获得他们的帐户的市场回报，可以指定跟踪错误的水平 - 或者作为雷蒙德·达利奥总统换取它，“他们想要alpha的辛辣如何。”该公司的纯粹alpha池是在内部管理的，并从世界各地的77个市场或市场繁殖。Dalio报告称，该策略已经实现了令人印象深刻的信息比 - alpha除以跟踪误差，其性能的关键措施 - 自1989年以来为1.30年。
New to the portable alpha game, Boston-based Putnam has a product on the drawing board that would incorporate alpha from nine in-house strategies developed for the firm's global tactical asset allocation accounts. "We plan to offer a portable alpha product that could substitute for any traditional large-cap equity product," notes Jeffrey Knight, chief investment officer for the firm's global asset allocation group. Like StocksPLUS, the strategy would be delivered as a prepackaged fund, perhaps as soon as Labor Day.
"We will make the specific portfolio structure of futures and swaps our problem rather than the client's," Knight explains.
Although a standardized account with a variety of sources of alpha has definite appeal for consultants and money managers, some would argue that alpha is too valuable to be sold off the rack. "Some of our clients want portable alpha with a narrow set of strategies on the equity part of the portfolio, and others want broader strategies on fixed income or their liability stream," observes Kurt Winkelman, head of global investment strategies at Goldman Sachs Asset Management in New York. "It's hard to see a one-size-fits-all solution."
依靠一个经理制作所有策略的alpha可能是制约的，也是洛杉矶基拉斯的量化货币经理分析投资者总裁Harindra de Silva。“判断是什么生产阿尔法，”De Silva说，“如果你去一个人为所有alpha策略的经理，你不再有多样化判断。”他的公司没有提供预先包装的产品，但提供由Minneapolis等专家公司包装的个人alpha来源。
But Putnam's Knight makes the case for a one-source supplier of alpha. "You may not get the best in class in every strategy, "he says, "but you're getting a more manageable and coordinated product."