From Delivering to Packaging ofAlpha

摘要

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.