1. Portable Alpha - is separating an active managers alpha, the return from security selection within an asset class from beta. Typically this is done by using derivatives to eliminate beta from the exposure. The beta exposure is added from a different asset class. Typically a specialist manager can generate alpha in one country say Turkey while a US investor would take beta exposure to the S&P 500
2. Alpha Beta Separation - separating a portfolio into a strictly passive (beta) portfolio such as an index and an alpha seeking portfolio, e.g. market neutral fund. Here the alpha and beta are still generated based on same index or asset class.
3. Market Neutral - shorts and longs matched in portfolio to produce overall beta zero portfolio that is not correlated the market. The goal is to generate alpha on the long and short side, generating an absolute return uncorrelated with the market. Allocating to this strategy given its lower correlation with the market would be a good diversify to a portfolio that has assets that are correlated with the market.
4. Long Short - traditional hedge fund strategy that combine long and short positions and leverage
5. Global Macro - investing across the liquid asset asset classes based on macroeconomic principals and top-down approach.
6. Event Driven - includes Risk M&A Arbitrage and Distressed Securities
7. Managed Futures - carried out normally as commodity pools or commodity advisor funds (CTAs). These managers take direction bets on the price direction of commodities and interest rates.
8. Short Extension Strategy - long short strategy whereby the Longs would constitute a greater exposure than the shorts. e.g. long 100% and short 20%
9. Pairs Trading - two securities are traded, one long and one short with equal matching amounts. E.g. one could go long one stock and short another for the same dollar amount in the same industry with a view that one firm is better positions on the market or for some reason is likely to outperform thus generating alpha.
10. Equitizing - giving systematic risk to a market neutral portfolio by using derivatives. ETFs may be another insrument of equitizing the portfolio.
11. Completeness Fund - passive or semi-active style that has the same risk and characteristics as the index which still generates value added.
2. Alpha Beta Separation - separating a portfolio into a strictly passive (beta) portfolio such as an index and an alpha seeking portfolio, e.g. market neutral fund. Here the alpha and beta are still generated based on same index or asset class.
3. Market Neutral - shorts and longs matched in portfolio to produce overall beta zero portfolio that is not correlated the market. The goal is to generate alpha on the long and short side, generating an absolute return uncorrelated with the market. Allocating to this strategy given its lower correlation with the market would be a good diversify to a portfolio that has assets that are correlated with the market.
4. Long Short - traditional hedge fund strategy that combine long and short positions and leverage
5. Global Macro - investing across the liquid asset asset classes based on macroeconomic principals and top-down approach.
6. Event Driven - includes Risk M&A Arbitrage and Distressed Securities
7. Managed Futures - carried out normally as commodity pools or commodity advisor funds (CTAs). These managers take direction bets on the price direction of commodities and interest rates.
8. Short Extension Strategy - long short strategy whereby the Longs would constitute a greater exposure than the shorts. e.g. long 100% and short 20%
9. Pairs Trading - two securities are traded, one long and one short with equal matching amounts. E.g. one could go long one stock and short another for the same dollar amount in the same industry with a view that one firm is better positions on the market or for some reason is likely to outperform thus generating alpha.
10. Equitizing - giving systematic risk to a market neutral portfolio by using derivatives. ETFs may be another insrument of equitizing the portfolio.
11. Completeness Fund - passive or semi-active style that has the same risk and characteristics as the index which still generates value added.
No comments:
Post a Comment