RT Journal Article
SR Electronic
T1 From Delivering to Packaging of Alpha
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 90
OP 98
DO 10.3905/jpm.2006.611808
VO 32
IS 2
A1 Noël Amenc
A1 Philippe Malaise
A1 Lionel Martellini
YR 2006
UL https://pm-research.com/content/32/2/90.abstract
AB The hedge fund industry typically takes a producer (manager) rather than a consumer (investor) perspective. There ought to be new types of hedge fund offerings better suited to the needs of institutional investors. In the case of active bond portfolios, the authors present evidence that managers can use fixed-income derivatives not only to generate and deliver abnormal performance, but also to package such performance in a form that is consistent with the modern core-satellite approach to institutional portfolio management. A dynamic extension allows for asymmetric control of active management risk.TOPICS: Real assets/alternative investments/private equity, derivatives, portfolio management/multi-asset allocation