Extended Alpha is a portfolio construction methodology that increases the opportunity set available to an active portfolio manager. It enables active managers to take full advantage of the full information content of their forecasts measured against a client specified benchmark.
Using various benchmarks, Mellon Equity has back-tested the potential of our Extended Alpha technique to produce value-added greater than a traditional long-only approach. The simulations demonstrate that the level and consistency of outperformance can be improved, providing higher information ratios than a similar long-only approach. For illustrative purposes, this paper examines simulated results using the Dow Jones Wilshire 4500 Index as the benchmark.
For more information and a hard copy, please contact Robert Brinker at 412 234-7276.
The preceding information is based upon the analysis of historical performance of various asset classes and assumptions with respect to future economic conditions. Past performance is not an indication of future results. This information is not intended to provide specific advice, recommendations or projected returns of any particular MAM product.
