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Portable alpha is the return of an investment portfolio with zero market risk (beta). Being independent of both the direction and the magnitude of the market's movements, it represents the manager's skill in selecting investments. Elimination of the market risk can be accomplished by means of short selling and derivatives such as futures, swaps, and options. See Alpha for a definition of alpha. Here, ''Portable Alpha'' implies that the extra returns (alpha) can be separated from the changes of the market by hedging the market exposure of the portfolio. The process of ''Portable Alpha'' is also sometimes referred to as ''Alpha Transport'' ==Example of Portable Alpha== As an example, consider a manager who invests only in small-cap US stocks, and the stocks in his portfolio have an average beta of 0.85. In a bear-market year, his portfolio returned 5% less than a risk-free asset, while the small-cap US stock market (the Russell 2000) declined 10% below the risk-free rate. Based on his beta (market risk), his portfolio should have returned 8.5% less than the risk free asset, but his skill in picking small-cap stocks resulted in his portfolio only declining 5% below the risk-free rate. The difference between 8.5% and 5% is attributed to skill and called alpha. So his alpha for this year would be 3.5%. To make this 3.5% alpha "portable," the manager could have sold Russell 2000 index futures at the beginning of the year, hedging out his exposure to the market. An investor in this type of portfolio would experience a return, not of 5% less than that of the risk free asset, but a 3.5% above that of the risk free asset. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Portable alpha」の詳細全文を読む スポンサード リンク
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