@article {Kung78, author = {Edward Kung and Lawrence Pohlman}, title = {Portable Alpha}, volume = {30}, number = {3}, pages = {78--87}, year = {2004}, doi = {10.3905/jpm.2004.412322}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Active investment managers provide two types of return: the return from market exposure (or beta) and the return from selection skill (or alpha). Active beta returns typically come from market timing?increasing market exposure in up markets and reducing it in down markets; passive beta returns come from index fund exposure. Alpha comes from security selection within an asset class, so the value that stock-picking adds does not depend on the direction of the market. A true stock-picker, that is, would have a beta of 1.0 relative to the market benchmark, and all value-added would come from active risk or stock-picking. ?Portable? alpha may be achieved by separating the alpha from the beta and then applying it to other portfolios. Investors can obtain portable alphas through traditional long-only strategies. There are benefits and drawbacks of implementing portable alphas in a variety of investment scenarios.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/30/3/78}, eprint = {https://jpm.pm-research.com/content/30/3/78.full.pdf}, journal = {The Journal of Portfolio Management} }