Absolute Return Overlay Solutions: The Best Hope


May 2020

Multi-asset absolute return strategies that seek to capture risk premia and mispricings across asset classes are a very good fit for portable alpha overlays, since they provide desirable characteristics such as cash efficiency, liquidity, scalability and diversification.

In a new whitepaper, QMA portfolio managers, Marco Aiolfi, PhD, Lorne Johnson, PhD, and Yesim Tokat-Acikel, PhD, examine absolute return overlay solutions that may meaningfully enhance returns over traditional strategic allocations which may not fare well in the current COVID-19 market environment. The authors demonstrate that portable alpha overlays can be implemented with high capital efficiency, without reducing exposure to longer-term strategic investments.