PT - JOURNAL ARTICLE AU - Zura Kakushadze AU - Jim Kyung-Soo Liew TI - Is It Possible to OD on Alpha? AID - 10.3905/jai.2015.18.2.039 DP - 2015 Sep 30 TA - The Journal of Alternative Investments PG - 39--49 VI - 18 IP - 2 4099 - https://pm-research.com/content/18/2/39.short 4100 - https://pm-research.com/content/18/2/39.full AB - It is wellknown that combining multiple hedge fund alpha streams yields diversification benefits to the resultant portfolio. Additionally, crossing trades between different alpha streams reduces transaction costs: As the number of alpha streams increases, the relative turnover of the portfolio decreases with the crossing of more trades. However, Kakushadze and Liewargue that under reasonable assumptions, as the number of alphas increases, turnover does not decrease indefinitely; instead, the turnover approaches a nonvanishing limit related to the correlation structure of the portfolio’s alphas. The authors also point out that, more generally, computational simplifications can be employed when the number of alphas is large.TOPICS: Real assets/alternative investments/private equity, portfolio construction, statistical methods, performance measurement