Webinar: Portable Alpha for Institutional Traders

  • Date: Thursday, 13 June 2019
  • Time: 12:00 AM CDT
  • Location: Online
  • Speaker: David Lerman
  • Sponsoring Firm: CME Group

A major institutional strategy, Portable alpha allows institutions to "enhance" index performance using a combination of futures and a fixed income portfolio. This webinar focuses on:

  • • Construction of a portable alpha strategy using stock index futures and short duration fixed income instruments
    • Transporting alpha from various sources such as small caps, bonds, hedge funds
    • How the quarterly roll costs influence the strategy, managing margin, and liquidity concerns

Watch Now