Aspect Capital’s study, “Portable Alpha: Finding the Right Match,” delves into how integrating a beta component, such as an equity index, with an alpha component from active management can enhance portfolio performance.
The authors demonstrate the benefits of active risk management through a comparative analysis of an actively managed portfolio versus a traditional beta portfolio, both modeled as “60/40” portfolios with 60% equity and 40% bond exposure.
The article delves into the theoretical foundations and practical applications of portable alpha, drawing insights from a survey of large endowments and foundations.