“If you just do momentum on a sector level, you would get most of the momentum profits at the individual company level.”
AE
Alex Edmans
The Rational Reminder Podcast ·
“You have a billion in the fund, you might buy 1.3 billion worth of those stocks, then overlay some well thought out hedges. It might be something as simple as buying put spreads, you know, 95, 85 put spread”
Alpha Exchange · Randy Cohen, Professor of Entrepreneurship & Finance Harvard Business School Co-Founder, PEO Partners
Play from 41:25
41:25
Audio streams from the publisher’s own feed. Verbatim does not host or copy it.
What was described
constructed a liquid-PE public-market proxy by (1) obtaining a proprietary PE holdings database, (2) matching public companies on sector, valuation and profitability, (3) selecting ~200 stocks that best mirror ~10,000 private LBO positions, (4) applying modest leverage and hedging with put spreads
≈200 public stocks; leverage up to 1.3×; example hedge: 95/85 put spread
Said nearby on the same subject
“The best way to do it is not to buy the 100 lowest multiple stocks. It's to go to each sector of the economy and buy the lowest multiple stocks in that sector”
♫
Said on Alpha Exchange
“I have consciously decided to move a lot of my investments from the public markets to the private markets… there’s too much data.”
OB
Oliver Berkman
The Prof G Pod with Scott Galloway ·
“If you really want to know what PE is holding, you have to partner with one of the handful of firms in the world that actually have the data on everything going on in PE”
♫
Said on Alpha Exchange
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