Portable Alpha Theory And Practice: What Investors Really Need To Know (Wiley Finance)

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Praise for Portable Alpha Theory and Practice "Sabrina Callin and her colleagues have written a concise and engaging book that captures the key values and the pitfalls of what has come to be known as portable alpha. For those who wish to participate in modern finance, this book is a most instructive read." --Alan Greenspan, former Federal Reserve Chairman and President of Greenspan Associates LLC "Modern capital theory argued that (1) risk can be quantified; (2) an asset's risk history gave us useful information about its future; and (3) portfolio risk related in a simple, meaningful way to the risk in its assets. In the new world of porting is modern capital theory obsolete? Read this important book to find out." --Jack L. Treynor, author, Treynor on Institutional Investing "This book is a beautiful combination of theory and practice with due consider-ation of the 'true costs, risks, and skills' necessary to succeed in the use of portable alpha techniques." --Harry Markowitz, Nobel Prize Laureate in Economics, 1990While the interest in portable alpha has grown exponentially, few investors have a true appreciation for the risks and operational complexities associated with this investment application. By first mapping outthe key components and evolution of portable alpha, this book aims to give investors a solid foundation in this discipline. From there, it ties in investment theory and asset allocation, then addresses the relevance and common misuse of the alpha and beta terms, inherent leverage, derivatives-based "beta," and global sources of (portable) alpha and risk, including equity, bonds, and hedge fund strategies. Implementation is covered in a dedicated chapter, as is risk management and the increasingly interrelated topic of LDI. Overall, this reliable resource will allow investors, consultants, practitioners, and academics to gain a better understanding of the potential benefits, applications, costs, and risks associated with portable alpha implementation.