By balancing long positions in equity with short positions of roughly equal dollar amount and market sensitivity, it is possible to construct a portfolio whose return is neutralized against overall market moves. Properly constructed, using an integrated optimization process, a long-short...

Derivatives can be used to transport the alpha from a manager's selection of securities to virtually any desired asset class benchmark. The authors demonstrate that, by liberating the security selection return from the asset class return, alpha transport allows investors to find the best...