Strategic trade
Trade view / 03 May 2016 at 13:23 GMT

#SaxoStrats: Equity portfolio split into alpha and beta components

Head of Equity Strategy / Saxo Bank
Price target:
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By Peter Garnry

Based on recent client meetings and internal requests for performance updates, we are splitting the portfolio into a beta and alpha part. Let me explain the reasons behind this move. 
A portfolio’s return can basically be expressed as function.
Portfolio return = cash + beta + alpha

Beta and cash returns cost almost nothing to get – think exchange-traded funds. A well-diversified global beta portfolio costs around 35 basis points. Obtaining the alpha return stream is what is both difficult and costly. By breaking the portfolio into beta and alpha components it will be easier to see our skills in picking stocks/sectors/countries etc. The alpha component is neutral so a long exposure in, for example, Facebook would be hedged with a short position in Nasdaq etc.

We are progressing with these changes as I write, and going forward we will publish performance with a beta and alpha breakdown and comments.

In addition to this portfolio split, we have undertaken some spring cleaning and have closed our positions in Dialog Semiconductor, Hugo Boss, Ocado, European banks, European health care and Volkswagen.

Please click on charts for a clearer resolution image:
— Edited by John Acher

Non-independent investment research disclaimer applies. Read more

maurizio baltera maurizio baltera
% exposure?
Aloushka Aloushka
Amazing!!! That's really useful ..As long we always have an updated portfolio, this is exactly whats we've been looking for,, Thanks
SierraPt. SierraPt.
Do you have these lists updated on website somewhere? thanks!


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