By Mike Duncan | March 2026
Portable alpha looks elegant on paper. It rarely survives contact with reality.
The closest thing investment management has produced to turning lead into gold. The problem, as with alchemy, is that the gap between the theory and the practice tends to be expensive.
The pitch deck logic is clean: cheap synthetic beta frees capital for an uncorrelated alpha strategy, and you collect beta plus alpha plus cash yield simultaneously. In a bull market, the marketed numbers look compelling.
The problem is what the pitch deck omits.
Synthetic beta is not free. The real hurdle rate, once financing drag, roll costs, and franking credit leakage are properly accounted for, is 250 to 400 basis points above cash before the structure breaks even with holding the physical benchmark. The alpha strategies most commonly proposed correlate with equity in stress, the only time diversification is needed. Most implementations lack a monetisation framework, so when the option is worth five times its premium, the committee hesitates and the window closes.
This executive brief prices the three problems the pitch deck does not address, shows what the real five-year numbers look like, and sets out six questions every institution should demand answers to before committing capital.
Read the Executive Brief
Portable Alpha: What the Pitch Deck Leaves Out
