Alpha-Beta Separation

CFA Level III
#1

Suppose a mgr attains alpha beta separation by: 1. Investing in a large cap index (beta) AND 2. Long-short strategy in a small cap index (alpha) Now, if there is a ban on long-short strategy, how else can a manager attain alpha-beta separation in these markets? - BN

#2

fund of funds that use alpha/beta strategy?

#3

Ohhhh aaa Alpha Beta ohhhh aaaaaa

#4

They can still go long/short derivatives can’t they? or is that part of the ban?

#5

i assume a ban on shorting…

#6

you can buy an ETF that implements short strategy like ‘DOG’ or ‘QID’, that won’t be a perfect match to bring beta to 0 of the index your are trying to exploit for alpha though

#7

Mr. Good Guy - Revenge of the Nerds… classic

#8

ha, I am glad someone got that