Thanks Newsmaker, Just think Bill Gross FI alpha on top of your equity returns. Speaking as a FI trader at a pension fund with positive alpha, I would love to be able to bring that over to our equity portfolio… (that currently has negative alpha). Portable alpha is a way to take advantage of a manager skill, regardless of the underlying assets (as long as have a underlying benchmark you’re able to swap). T.
Trevor, the product you’re thinking of already exists, check out the Pimco Stocks PLUS fund. The technical term for this strategy is called enhanced indexing. Basically you gain your equity exposure through futures contracts, and then try to outperform the implied financing rate by investing your collateral in a fixed income portfolio. Equity beta + fixed income alpha. Most of the major FI shops (Blackrock, Western, BGI, SSGA, etc.) run this strategy