easy · Frm Part 2 Risk & Investment Management
In the 'alpha-beta separation' argument, why might a pension fund restructure its manager lineup to pay active fees only for 'genuine' alpha?
- Because systematic beta is more volatile than alpha.
- To eliminate all systematic risk from the pension fund.
- Because alpha is guaranteed to be positive every year.
- Because systematic factor exposure can be replicated at much lower cost.
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