Measuring Alpha-Based Performance: Implications for Alpha-Focused Structured Products

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dc.contributor.authorWeigand, Robert A.
dc.contributor.authorGorman, Larry R.en_US
dc.dateFebruary 2008en_US
dc.date.accessioned2018-11-02T14:38:16Z
dc.date.available2018-11-02T14:38:16Z
dc.date.issued2008-02-1
dc.description.abstractWe propose that the muted demand for investment innovations such as Portable Alpha arise, at least in part, from a lack of clarity and transparency regarding the way alpha is defined and measured. We show that the profession has been debating the closely-related issue of alpha/beta separation as far back as the 1970s, and argue that lack of closure regarding this debate is a natural and expected feature of innovation in money management products. we provide an example of how to measure alpha bias in the context of benchmarking an actively-managed equity portfolio, and find a maximum potential bias from 1997-2006 of +/-5% per year.en_US
dc.description.sponsorshipKaw Valley Banken_US
dc.format.mediumPDFen_US
dc.identifier.otherSchool of Business Working Paper Series; No. 96en_US
dc.identifier.urihttps://hdl.handle.net/10425/236
dc.language.isoen_USen_US
dc.publisherWashburn University. School of Businessen_US
dc.subjectInvestment analysisen_US
dc.subjectPerformance attributionen_US
dc.subjectPortable Alphaen_US
dc.subjectPortfolio managementen_US
dc.subjectRate of Returnen_US
dc.titleMeasuring Alpha-Based Performance: Implications for Alpha-Focused Structured Productsen_US
dc.typeWorking paperen_US
washburn.identifier.cdm167en_US
washburn.identifier.oclc247139075en_US
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