Google searches for “portable alpha” peaked in August 2006, then dropped off precipitously over the next two years. By mid–financial crisis web users’ interest in the derivatives overlay strategy averaged one sixth of the 2006 level. Now “portable alpha” barely registers on Google Trends owing to scanty search activity. For every time someone googled the term in February, there were seven searches for “risk parity.”
这可能是健康的。
Perhaps the only instance of risk parity causing real, fund-level problems happened more than two years ago in San Diego County. It required assists from alarmist local-newspaper editorials (“Be nervous, county taxpayers and pensioners — very nervous”), warring board members (“I deeply fear for my safety”), and the troubled outsourcing of a then–$10 billion public fund.
相比之下，在金融危机期间，可移植alpha策略在金融危机期间吹嘘，其中一些术语是“缺乏风险手榴弹”的代名词，或者也许是“合成俄罗斯轮盘赌”是同义词。
铁可以肌萎缩性侧索硬化症o be death traps — for those who press their clothes while wearing them.
First, a definition: “The alpha piece is the extra return that the ‘brilliant’ insights of an active manager can produce,” explains Daniel Scholz, investment strategies director for NISA Investment Advisors. NISA, based in St. Louis, Missouri, runs portable-alpha programs for five clients. “The portable part is, rather than take that alpha from whatever the manager does — oil or currency, for instance — [you can] port it onto any kind of market exposure that the end investor wants. The classical iteration is that if you had an active stock picker but didn’t want equity exposure, you could synthetically unwind the equity exposure and use another derivative to add, say, fixed-income exposure.”
第1步：围绕alpha，任何alpha。第2步：选择最好的测试版（对于您的投资组合）。第3步：雇用经理（可能）以通过衍生物通过步骤1曝光步骤2。
What went so very wrong with some of these programs in 2008?
“将一切正常化到100美元，”Scholz说明了策略如何沉没。“如果您想要加强股权曝光，您将采取一定的分数并将其提供给对冲基金并采取另一部分，以促进对衍生品的保证金支付。我们理解，在[全球金融危机]中遇到麻烦的情况下，大量的美元兑换了80美元，前往对冲基金和20美元的现金，以及衍生品被标记为上市时，20美元耗尽。一些对冲基金门控赎回，因此投资者不得不去其他地方进行这种流动性。真正陷入困境的投资者必须使用任何不液体的资产。那些当时回归的人是艰难的决定。“
Portable alpha hasn’t made a sustained comeback the way some crisis-era products, such as mortgage-backed securities, have. Rather, it’s become the domain of a small number of sophisticated asset allocators and specialist managers. The Alberta Investment Management Co., for example, reportedly leverages its hedge fund portfolio via an internally managed portable-alpha strategy.
“We can have, say, Canadian beta and then receive alpha from a global alpha pool that has a diversified mix of exposures,” AIMCo chief investment officer Dale McMaster told the Top 1000 Funds news site in 2016. “It’s all about finding the most cost-effective way to deliver alpha and beta.”
但要找到Postcrisis便携式alpha的温床，应该看看密苏里州。80亿美元的密苏里州雇员退休系统（Mosers）超过15年前推出了其计划。“他们在十年内取得了成功，并将其介绍了该州若干养老金计划的战略，”密苏里大学养老金，养老金，养老金和营运资金基金的托马斯理查兹托马斯理查兹说。Richards和他的团队在几年前推出了一个小型便携式alpha计划，占据了大资本的7％。Mosers的体验“帮助我们的董事会有所帮助，”Richards解释说，“因为我们可以坐下来与我们州实际完成的国家的人交谈，并且非常成功地与人们交谈。这不是一个新的概念。“
Last summer, Richards returned to the UM board and put up some of the original slides he’d used to initiate the program and predict how it would perform. “That’s exactly what it did. From a risk perspective, yes, we expanded it to 20 percent of capital, but at the same time, we are dramatically reducing risk in certain other areas of the portfolio” — namely, public equities. “It was very helpful to us to bring in NISA, a firm based just down the road, which has particular expertise in derivatives implementation,” Richards says. For UM, “portable alpha is done prudently with a good partner — we wouldn’t be doing it ourselves.”
The cost of portable alpha makes it appealing. “Manager cost is probably the most significant element,” according to NISA’s Scholz. “The hedge funds hired will account for the lion’s share of total fees, and then the overlay manager’s (NISA’s fees, in this case) are a relatively small portion. And finally, to the extent that something’s done with the cash — like a money market fund — there will be fees.”
But, he notes, “the setup costs can be substantial, including the legal documentation to do the program. The second part is structure costs — the financing costs embedded in the overlay. Efficient execution is one aspect NISA tries to market.”
除了扩大该计划的规模外，UM还将开始将其对冲基金Alpha移植到财政部，提示和商品风险上。（它以前曾陷入唯一的覆盖物。）“我们更大的挑战之一一直转变为新的分配：超出股票并进入提示和国债，”Richards说。“我们每月有条不紊地减少股票，并在两端分层，因此我们在市场时机方面我们没有任何重大风险。我们一直逐渐建造，因为税率正在上升。“
Much of the change to UM’s portfolio comes from the philosophy that neither Richards nor his team can foresee asset prices and market movements. “No one can, and when people think they can, you should doubt them,” the CIO says. “It’s an element of humility to acknowledge that we’re not smart enough to predict markets, so as much balance as you can tolerate is better.”
Ken Raguse, a portfolio manager for SSI Investment Management, which has run derivatives strategies since 1995, puts it succinctly: “Why is portable alpha coming back? It’s working.”