Portable Alpha Theory and Practice: What Investors Really Need to Know - Hardcover

Callin, Sabrina

Hardcover

ISBN 10: 0470118083 ISBN 13: 9780470118085

Publisher: Wiley, 2008

Synopsis

As an original innovator of the portable alpha concept, PIMCO has been managing an increasing number of different portable alpha strategies for investors since 1986. And now, with Portable Alpha Theory and Practice, the PIMCO team shares their extensive experiences with you. Filled with in-depth insights and expert guidance, this reliable resource provides an informative look at portable alpha and key related concepts, as well as detailed discussion on the many ways it can be applied in real-world situations.

About this title

From the Inside Flap

While portable alpha strategies have been around for over twenty years, the recent increase in investor risk tolerance and an associated focus on strategies with high return potential, combined with comfort in using derivatives, has contributed to a proliferation of portable alpha strategies and related services. Compared to traditional investment options, many portable alpha structures are considerably more complex—but they can also be very powerful and well worth the extra time and effort involved in understanding them.

As an original innovator of the concept, PIMCO has been managing an increasing number of different portable alpha strategies for investors since 1986. And now, with Portable Alpha Theory and Practice, the PIMCO team shares their extensive experiences with you.

Filled with in-depth insights and expert guidance, this reliable resource puts portable alpha in perspective from the standpoint of investors. Opening with an informative overview of portable alpha and key related concepts, this book moves on to detail the theory behind this discipline and different ways it can be applied in real-world situations. Chapter by chapter, you'll become familiar with the benefits and costs associated with portable alpha, as well as:

• The essential aspects of and approaches to its implementation

• Available global sources of (portable) alpha—from equities and fixed income to hedge funds

• The increasingly associated topic of liability- driven investing (LDI)

• Derivatives-based beta management

• The myths and realities surrounding alpha and beta

• Related considerations for asset allocation, risk budgeting, and benchmarking

• The crucial role of risk measurement and management

In addition to the overriding themes regarding the link between return and risk, and the benefits of diversification presented throughout the book, there are some additional concepts that are also addressed—including the practice of borrowing to achieve higher returns and the role of leverage as it applies to your investment activities.

The idea that portable alpha strategies may provide a solution that enables you to meet or exceed return targets is certainly appealing, as are the potentially powerful diversification benefits. But, as is the case with investing in general, it is important to first develop a comprehensive understanding of the many principles as well as the potential risks that underlie portable alpha strategies—and with this book as your guide, you'll quickly discover how.

From the Back Cover

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, 1990

Edition details

• Publisher: Wiley
• Publication date: 2008
• ISBN 10: 0470118083
• ISBN 13: 9780470118085
• Binding: Hardcover
• Language: English
• Edition number: 1
• Number of pages: 336