Alan H. Dorsey

Active Alpha (eBook, ePUB)

A Portfolio Approach to Selecting and Managing Alternative Investments

• Format: ePub

Produktbeschreibung

Praise for Active Alpha "Active alpha is the quest for every sophisticated investor. This book covers all of the key alpha sources currently mined by active managers, reduces the complexity of the subject, and helps the investor get started in the right direction." -Mark Anson, Chief Executive Officer, Hermes Pensions Management Ltd. "Long-held traditional methods for investing large portfolios are giving way to new processes that are designed to improve productivity and diversification. These changes find their locus in the sometimes overly mysterious world of absolute return strategies. In this book, Alan Dorsey demystifies that new world and provides a guiding pathway into the future of professional portfolio management. This is an important read for any investor who plans to succeed going forward." -Britt Harris, Chief Investment Officer, Teacher Retirement System of Texas "With great lucidity, Alan Dorsey's book, Active Alpha, fills an important void by identifying the relevant institutional features of this complex subject and by providing a unifying analytic framework for understanding and constructing portfolios of alternative assets. For anyone investing in the alternative class, from the new student to the experienced practitioner, Active Alpha is a necessary read. I am recommending it to everyone I know with such an interest, and it is destined to become a much thumbed reference on my shelf." -Steve Ross, Franco Modigliani Professor of Financial Economics, Sloan School, MIT

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 400
• Erscheinungstermin: 12. Juli 2011
• Englisch
• ISBN-13: 9781118161142
• Artikelnr.: 37358924

Autorenporträt

ALAN H. DORSEY is a Managing Director and Alternative Investment Strategist at Lehman Brothers. He is cohead of Portfolio Advisory for the Private Investment Management group that serves Lehman's high-net-worth clients and head of Portfolio Strategy for multi-asset class -institutional portfolios with a focus on alternative investments. Prior to joining Lehman Brothers, Dorsey was managing director and director of non-traditional investments and research at RogersCasey, a leading consultant to pension funds and other institutional investors. He holds a BA in economics from Wesleyan University and is a Chartered Financial Analyst. Since 1997, Dorsey has served as a member of the investment committee for Wesleyan University, where he is a past trustee. He became a trustee for the Lehman Brothers defined benefit pension plan in 2007.

Inhaltsangabe

Preface. Acknowledgments. About the Author. Part One. Alternative
Investments and Investors. Chapter 1. Introduction. Integration of
Alternative Investments and Traditional Asset Classes through Factor
Analysis. Approaches to Portfolio Construction. The Identification of Alpha
and Beta in New Investment Strategies. What the Future Holds. Summary.
Chapter 2. Investors in Alternative Investments and the Necessary
Ingredients for a Successful Program. Types of Investors and Their
Approaches to Alternative Investments. The Necessary Ingredients for a
Successful Alternative Investment Program. Support from Investment
Management Firms and Consultants. Investors Deciding To Minimize the Use of
Alternative Investments. Summary. Chapter 3. Hedge Funds. Performance and
Diversification Attributes. Market Segmentation. Hedge Fund Strategies. The
Construction of a Segregated Portfolio of Hedge Funds. Summary. Chapter 4.
Private Equity. Performance and Diversification Attributes. Dispersion of
Returns. Private Equity Strategies. The Construction of a Segregated
Portfolio of Private Equity. Summary. Chapter 5. Real Estate. What Is the
Attraction? Real Estate Strategies. The Construction of a Segregated
Portfolio of Real Estate. Summary. Chapter 6. Currency, Commodities, Timber
and Oil & Gas. The Qualitative Determinant of Returns. The Attraction of
Currency. The Attraction of Commodities. Currency and Commodity Strategies.
The Attraction of Timber. Timber Strategies. The Attraction of Oil & Gas.
Oil & Gas Strategies. The Construction of a Segregated Portfolio of
Currencies, Commodities, Timber and Oil & Gas. Summary. Part Two.
Alternative Investments in Traditional Portfolios. Chapter 7. The Migration
of Hedge Funds into the Private Equity Realm. Are Hedge Funds Gaining
Market Share from Private Equity? How Well Suited Are Hedge Funds To
Private Equity Investments? The Power of Compounding. A Comparative
Advantage for Private Equity. The Fee Differential between Hedge Funds and
Private Equity. Alternative Investment Fee and Term Components. Summary.
Chapter 8. Cash Flow Forecasting and its Implications for Rebalancing.
Alternative Investment Cash Flow. Asset Allocation. Achieving Policy
Targets and Rebalancing. Cash Flow Forecasting Tools. Portfolio Rebalancing
Tools. Summary. Chapter 9. Leverage and Portable Alpha. Leverage. Portable
Alpha. What Is Portable Alpha? The Benefits and Issues with Portable Alpha.
Reevaluating the Premise for Portable Alpha. The Use of Hedge Funds in
Portable Alpha. Alternative Thinking about Alpha. Summary. Chapter 10.
Factor Analysis. The Rationale. Marketplace Changes That Warrant Factor
Analysis. The Asset Class Concept. Alternative Investments and Factor
Analysis. Problems with Selecting Vehicles for Alternative Investment
Portfolio Construction. Quantitative Building Blocks. Risk Budgeting Using
Factors. Beyond Traditional Asset Class Risk Budgeting. Qualitative
Independent Variables. Illiquidity Factor. Summary. Chapter 11. Factor
Analysis. The Findings and Discovering Active Alpha. Time Series
Delineation and Issues. Mean Variance Optimization. Problems Using Mean
Variance Optimization with Alternative Investments. Regression Analysis
with Alternative Investment Factors. Regression Analysis Results and
Observations. Problems with Conducting Regression Analysis on Alternative
Investments. Factor Optimization. Active Alpha vs. Passive Alpha. Problems
with Factor Optimization. Synthetic Portfolios of Alternative Investments.
Factor Measurement and Risk Monitoring. Summary. Appendix. Regression
Methodology. Notes. Glossary. References. Index.

Rezensionen

"Active alpha is the quest for every sophisticated investor. This book covers all of the key alpha sources currently mined by active managers, reduces the complexity of the subject, and helps the investor get started in the right direction." Mark Anson, Chief Executive Officer, Hermes Pensions Management Ltd.

"Long-held traditional methods for investing large portfolios are giving way to new processes that are designed to improve productivity and diversification. These changes find their locus in the sometimes overly mysterious world of absolute return strategies. In this book, Alan Dorsey demystifies that new world and provides a guiding pathway into the future of professional portfolio management. This is an important read for any investor who plans to succeed going forward." Britt Harris, Chief Investment Officer, Teacher Retirement System of Texas

"With great lucidity, Alan Dorsey's book, Active Alpha, fills an important void by identifying the relevant institutional features of this complex subject and by providing a unifying analytic framework for understanding and constructing portfolios of alternative assets. For anyone investing in the alternative class, from the new student to the experienced practitioner, Active Alpha is a necessary read. I am recommending it to everyone I know with such an interest, and it is destined to become a much thumbed reference on my shelf." Steve Ross, Franco Modigliani Professor of Financial Economics, Sloan School, MIT