Fri, Sep 30, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

MA Capital: A robust absolute return portfolio contains systematic beta

Monday, July 15, 2013

Benedicte Gravrand, Opalesque Geneva:

According to Monty Agarwal, chief investment officer at MA Capital Management, an investment management firm based in Palm Beach Gardens, FL, the most robust absolute return portfolio he can find has systematic beta.

In a recent paper titled Constructing a Robust Absolute Return Portfolio, Argawal, who defines an absolute return portfolio as one that "strives to provide positive returns over any distinct time period, regardless of the performance of the relevant index, such as the S&P 500 Index," starts by reminding the reader that "constructing such a portfolio requires asset classes that exhibit return and volatility characteristics that are not correlated to other assets in the portfolio."

Historically, absolute return portfolios initially used to contain a mixture of long-only assets (stocks and bonds). Then global securities were added, including emerging markets and frontier markets’. Eventually, alternative strategies (hedge funds, managed futures, real estate, etc.) also became part of the mix.

But correlations are not stables and market returns are not normally distributed, the paper says. Furthermore, past data reveals that a portfolio of alternatives assets only does not produce alpha consistently. In his paper, Argawal shows "how the hedge fund index beta to the S&P 500 Index is quite high and higher still during large volatil......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Eden Rock buys Gottex stake in ERG Asset Management[more]

    Matthias Knab, Opalesque: Eden Rock Group announced the purchase of Gottex’s stake in ERG Asset Management and so the firm is now wholly owned by Eden Rock. The two firms established the joint venture in 2011 to focus on providing cost effective solutions to funds holding illiquid investments, as

  2. "Hedge fund industry needs to shrink"[more]

    Komfie Manalo, Opalesque Asia: Writing for CNBC, Josh Brown, creator of The Reformed Broker blog and financial advisor for Ritholtz We

  3. Strategy - Voyager Management wants to invest in smaller hedge funds[more]

    From Valuewalk.com: Voyager Management, a $475 million fund of funds, is looking to downsize the hedge fund’s in which they invest, looking for smaller funds with assets under management that enable the fund to be nimble. The fund is looking for noncorrelation and will consider long / short equity

  4. Asia - Quant hedge funds are China's hot new export, Europe banks return to Korean brokerage market; target debt, alternative products[more]

    Quant hedge funds are China's hot new export From Bloomberg.com: Add China’s quant shops to the list of hedge funds branching out across Asian markets. Quantitative money managers from the world’s second-largest economy are opening offshore funds at a never-before-seen pace, according to

  5. Hedge funds pull back from Deutsche Bank[more]

    Bailey McCann, Opalesque New York: Hedge funds are pulling some of their business from Deutsche Bank, according to a Bloomberg report. People familiar with th