{"product_id":"active-alpha-isbn-9780471791324","title":"Active Alpha","description":"Praise for Active Alpha\u003cbr\u003e \u003cbr\u003e \"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.\"\u003cbr\u003e -Mark Anson, Chief Executive Officer, Hermes Pensions Management Ltd.\u003cbr\u003e \u003cbr\u003e \"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.\"\u003cbr\u003e -Britt Harris, Chief Investment Officer, Teacher Retirement System of Texas\u003cbr\u003e \u003cbr\u003e \"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.\"\u003cbr\u003e -Steve Ross, Franco Modigliani Professor of Financial Economics, Sloan School, MIT \u003cp\u003ePreface xi\u003c\/p\u003e \u003cp\u003eAcknowledgments xv\u003c\/p\u003e \u003cp\u003eAbout the Author xvi\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART ONE Alternative Investments and Investors\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 1 Introduction 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntegration of Alternative Investments and Traditional Asset Classes through Factor Analysis 3\u003c\/p\u003e \u003cp\u003eApproaches to Portfolio Construction 4\u003c\/p\u003e \u003cp\u003eThe Identification of Alpha and Beta in New Investment Strategies 5\u003c\/p\u003e \u003cp\u003eWhat the Future Holds 8\u003c\/p\u003e \u003cp\u003eSummary 8\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 2 Investors in Alternative Investments and the Necessary Ingredients for a Successful Program 11\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTypes of Investors and Their Approaches to Alternative Investments 12\u003c\/p\u003e \u003cp\u003eThe Necessary Ingredients for a Successful Alternative Investment Program 18\u003c\/p\u003e \u003cp\u003eSupport from Investment Management Firms and Consultants 33\u003c\/p\u003e \u003cp\u003eInvestors Deciding to Minimize the Use of Alternative Investments 36\u003c\/p\u003e \u003cp\u003eSummary 42\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 3 Hedge Funds 43\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePerformance and Diversification Attributes 43\u003c\/p\u003e \u003cp\u003eMarket Segmentation 47\u003c\/p\u003e \u003cp\u003eHedge Fund Strategies 47\u003c\/p\u003e \u003cp\u003eThe Construction of a Segregated Portfolio of Hedge Funds 69\u003c\/p\u003e \u003cp\u003eSummary 74\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 4 Private Equity 77\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePerformance and Diversification Attributes 77\u003c\/p\u003e \u003cp\u003eDispersion of Returns 83\u003c\/p\u003e \u003cp\u003ePrivate Equity Strategies 85\u003c\/p\u003e \u003cp\u003eThe Construction of a Segregated Portfolio of Private Equity 95\u003c\/p\u003e \u003cp\u003eSummary 97\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 5 Real Estate 99\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhat Is the Attraction? 99\u003c\/p\u003e \u003cp\u003eReal Estate Strategies 104\u003c\/p\u003e \u003cp\u003eThe Construction of a Segregated Portfolio of Real Estate 114\u003c\/p\u003e \u003cp\u003eSummary 123\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 6 Currency, Commodities, Timber, and Oil and Gas 125\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Qualitative Determinants of Returns 125\u003c\/p\u003e \u003cp\u003eThe Attraction of Currency 127\u003c\/p\u003e \u003cp\u003eThe Attraction of Commodities 130\u003c\/p\u003e \u003cp\u003eCurrency and Commodity Strategies 132\u003c\/p\u003e \u003cp\u003eThe Attraction of Timber 136\u003c\/p\u003e \u003cp\u003eTimber Strategies 139\u003c\/p\u003e \u003cp\u003eThe Attraction of Oil and Gas 140\u003c\/p\u003e \u003cp\u003eOil and Gas Strategies 142\u003c\/p\u003e \u003cp\u003eThe Construction of a Segregated Portfolio of Currencies, Commodities, Timber, and Oil and Gas 144\u003c\/p\u003e \u003cp\u003eSummary 147\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART TWO Alternative Investments in Traditional Portfolios\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 7 The Migration of Hedge Funds into the Private Equity Realm 151\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAre Hedge Funds Gaining Market Share from Private Equity? 152\u003c\/p\u003e \u003cp\u003eHow Well Suited Are Hedge Funds to Private Equity Investments? 157\u003c\/p\u003e \u003cp\u003eThe Power of Compounding: A Comparative Advantage for Private Equity 159\u003c\/p\u003e \u003cp\u003eThe Fee Differential between Hedge Funds and Private Equity 160\u003c\/p\u003e \u003cp\u003eAlternative Investment Fee and Term Components 164\u003c\/p\u003e \u003cp\u003eSummary 176\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 8 Cash Flow Forecasting and Its Implications for Rebalancing 177\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAlternative Investment Cash Flow 177\u003c\/p\u003e \u003cp\u003eAsset Allocation: Achieving Policy Targets and Rebalancing 195\u003c\/p\u003e \u003cp\u003eCash Flow Forecasting Tools 199\u003c\/p\u003e \u003cp\u003ePortfolio Rebalancing Tools 202\u003c\/p\u003e \u003cp\u003eSummary 205\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 9 Leverage and Portable Alpha 207\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLeverage 208\u003c\/p\u003e \u003cp\u003ePortable Alpha 213\u003c\/p\u003e \u003cp\u003eWhat Is Portable Alpha? 213\u003c\/p\u003e \u003cp\u003eThe Benefits and Issues with Portable Alpha 218\u003c\/p\u003e \u003cp\u003eReevaluating the Premise for Portable Alpha 219\u003c\/p\u003e \u003cp\u003eThe Use of Hedge Funds in Portable Alpha 221\u003c\/p\u003e \u003cp\u003eAlternative Thinking about Alpha 227\u003c\/p\u003e \u003cp\u003eSummary 231\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 10 Factor Analysis: The Rationale 233\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMarketplace Changes that Warrant Factor Analysis 234\u003c\/p\u003e \u003cp\u003eThe Asset-Class Concept 236\u003c\/p\u003e \u003cp\u003eAlternative Investments and Factor Analysis 241\u003c\/p\u003e \u003cp\u003eProblems with Selecting Vehicles for Alternative Investment Portfolio Construction 243\u003c\/p\u003e \u003cp\u003eQuantitative Building Blocks 244\u003c\/p\u003e \u003cp\u003eRisk Budgeting Using Factors 249\u003c\/p\u003e \u003cp\u003eBeyond Traditional Asset-Class Risk Budgeting 250\u003c\/p\u003e \u003cp\u003eQualitative Independent Variables 253\u003c\/p\u003e \u003cp\u003eIlliquidity Factor 255\u003c\/p\u003e \u003cp\u003eSummary 271\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 11 Factor Analysis: The Findings and Discovering Active Alpha 273\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTime Series Delineation and Issues 273\u003c\/p\u003e \u003cp\u003eMean-Variance Optimization 277\u003c\/p\u003e \u003cp\u003eProblems Using Mean-Variance Optimization with Alternative Investments 294\u003c\/p\u003e \u003cp\u003eRegression Analysis with Alternative Investment Factors 294\u003c\/p\u003e \u003cp\u003eRegression Analysis Results and Observations 296\u003c\/p\u003e \u003cp\u003eProblems with Conducting Regression Analysis on Alternative Investments 302\u003c\/p\u003e \u003cp\u003eFactor Optimization 304\u003c\/p\u003e \u003cp\u003eActive Alpha versus Passive Alpha 309\u003c\/p\u003e \u003cp\u003eProblems with Factor Optimization 311\u003c\/p\u003e \u003cp\u003eSynthetic Portfolios of Alternative Investments 312\u003c\/p\u003e \u003cp\u003eFactor Measurement and Risk Monitoring 313\u003c\/p\u003e \u003cp\u003eSummary 314\u003c\/p\u003e \u003cp\u003eAppendix: Regression Methodology 316\u003c\/p\u003e \u003cp\u003eNotes 347\u003c\/p\u003e \u003cp\u003eGlossary 351\u003c\/p\u003e \u003cp\u003eReferences 363\u003c\/p\u003e \u003cp\u003eIndex 369\u003c\/p\u003e \u003cp\u003e\u003cb\u003eALAN H. DORSEY \u003c\/b\u003eis 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.\u003c\/p\u003e  \u003cp\u003eWith significant assets currently committed to alternative investments, it’s clear to see that serious investors—both institutional and high-net-worth individuals—are extremely interested in adding these types of investments to their portfolios. But in order to properly integrate today’s alternative investments into a portfolio of traditional asset classes, it is prudent to follow a portfolio construction methodology that includes factor analysis.\u003c\/p\u003e \u003cp\u003eNobody understands this better than author Alan Dorsey. Over the course of his successful ­financial career, Dorsey has skillfully refined his approach to selecting and managing alternative investments. And now, with \u003ci\u003eActive Alpha,\u003c\/i\u003e he shares these essential experiences. \u003c\/p\u003e\u003cp\u003eDivided into two comprehensive parts, \u003ci\u003eActive Alpha\u003c\/i\u003e is filled with cutting-edge material mixed with sage advice on alternative investment trends in the world of portfolio management. In Part One, you’ll become familiar with organizational and implementation issues—such as governance and gaining access to the best funds—that arise when dealing with alternative investments. Along the way, a variety of alternative investment strategies are introduced, including hedge funds, private equity, real estate, currencies, commodities, timber, and oil and gas. Chapters that pertain to a specific type of alternative investment detail the basic attraction of each as well as the qualitative return drivers that tend to affect them. Approaches for each strategy are carefully presented, along with various tactics, substrategies, and forms of fund. Rounding out the discussion of each alternative investment are considerations for the construction of portfolios dedicated solely to each one. \u003c\/p\u003e\u003cp\u003ePart Two of\u003ci\u003e Active Alpha\u003c\/i\u003e moves on to address the use of alternative investments in traditional ­portfolios. Important issues covered here include the migration of hedge funds into the realm of private equity, alternative investment cash flow and its implications for portfolio rebalancing, the use of leverage, and portable alpha techniques. Factor analysis is also closely evaluated through an in-depth discussion of the basic supporting methodologies and quantitative building blocks that underpin factor analysis when applied to investment management, and a quantitative illustration of factor analysis as applied to the major strategies for hedge funds, private equity, real estate, ­currencies, commodities, timber, and oil and gas. \u003c\/p\u003e\u003cp\u003eWritten in an engaging and informative style, \u003ci\u003eActive Alpha\u003c\/i\u003e shows how to analyze factors associated with alternative investments, identify true sources of Alpha, and create well-balanced portfolios with accurately measured risk exposures.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47988657225957,"sku":"NP9780471791324","price":95.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780471791324.jpg?v=1761781145","url":"https:\/\/k12savings.com\/es\/products\/active-alpha-isbn-9780471791324","provider":"K12savings","version":"1.0","type":"link"}