RT Journal Article
SR Electronic
T1 Alpha Transport With Derivatives
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 55
OP 60
DO 10.3905/jpm.1999.319699
VO 25
IS 5
A1 Bruce I. Jacobs
A1 Kenneth N. Levy
YR 1999
UL https://pm-research.com/content/25/5/55.abstract
AB Derivatives can be used to transport the alpha from a manager's selection of securities to virtually any desired asset class benchmark. The authors demonstrate that, by liberating the security selection return from the asset class return, alpha transport allows investors to find the best opportunities in both asset allocation and security selection. They also show how long-short portfolio construction can further enhance return by allowing managers to pursue the best investments in both “winning” and “losing” securities.