The perils of portable alpha

www.breakingviews.com

Investors aren’t the only ones finding it hard to make ends meet in a world of low returns. Hedge fund managers are in the same boat. Many of the anomalies they relied on to make returns investing in conventional markets have been arbitraged away. The recent performance of managed futures hedge funds, which trade on market momentum, is indicative. Returns fell 7% in the year to February, according to CSFB/Tremont. Convertible arbitrage funds were down 0.8%;