Hopes were high some years ago that hedge fund replication products would be for hedge fund investments something akin to what index funds have been to equity investments. Hedge fund replication products were to provide a low-cost, liquid exposure to hedge fund returns. Around one year ago,...

What is the appropriate level of portfolio allocation towards fund of hedge funds? The well-known core-satellite approach would give a number around 5% or 10%, fund of hedge funds being the satellite allocation. The core allocation should be given to often low-fee, passively managed, classical...

Whereas return is risky, excess return (alpha) is uncertain. This distinction has surprisingly broad practical implications for investors. Alpha-Uncertainty is a new pair relationship to be considered along the Risk-Return relationship established by modern portfolio theory. Uncertainty...

Alpha Uncertainty Principle introduces a new relationship between alpha potential and alpha uncertainty. Alpha uncertainty increases with degrees of freedom used in active management. This uncertainty cost has been largely ignored by investors. As a result free put options have been written to...

The paper is fictional account of how big tech might disrupt the wealth management industry. Wealth management’s existing investment framework was originally developed half a century ago for pension funds.This pension fund “operating system” (PF OS) works well for “agents” but not...