Consistent Alpha Generation Through Structure

Abstract

Successful money management over long periods of time rests on two foundations. The first is a secular outlook - that is, a three- to five-year forecast that forces one to think long term. The second is the structural composition of portfolio management - the portfolio's genetic makeup, how it is constructed without regard to short-term strategic decisions, principles that are longer than secular. Duration, curve, credit, volatility, and other tilts to a portfolio's steady-state status are a portfolio's inherent structure. Recognizing the structural elements of the investment equation will allow the investor to be the one walking away with a pile of chips.

Keywords: Derivative Instruments, Debt Derivatives, Portfolio Management, Investment Policy