Portable alpha involves overlaying exposure on top of core positions using derivatives. The relevance to SA investors is that they have access to high-calibre offshore alternatives, but the challenge often lies in allocation. To introduce an alternative, investors need to sell out of an existing position. This dilemma is pertinent today, with equities near all-time highs, possibly heading higher still. Investors want to continue participating, yet with valuations stretched, also want to diversify against potential drawdowns.

Portable alpha uses futures to replicate full equity exposure synthetically, requiring minimal upfront capital outlay. Futures are ideal because only a small fraction of NAV is tied up as margin and as a liquidity buffer, allowing additional strategies to be stacked on top. The portfolio structure uses separate sub-accounts for clean attribution: Main Account holds cash for margin and liquidity, Sub-Accounts implement Equity, Trend, and Tail Hedge strategies. This approach delivers clean attribution, efficient use of capital, and full control of implementation. Daily performance is simply the combined mark-to-market across all sleeves.