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The financial meltdown, which reached its nadir in March 2009, kicked off the worst recession since the 1930s. In response, the U.S. Federal Reserve, led by chairman Ben Bernanke, and central banks around the world prescribed strong monetary medicine to spur growth and raise asset prices, including a quantitative easing program and a near-zero interest rate policy. With the risk-free rate at a record low, it’s more difficult than ever to produce alpha. But it’s a great time to be writing about how difficult it is to find alpha, because investors rarely think about the increased risk that low interest rates present, Marc Lasry insists. “It’s just mathematically harder to find alpha because the risk-free rate is now essentially zero,” says Lasry, co-founder of New York–based Avenue Capital Group, a $12.3 billion alternative-investment firm that specializes in distressed investing.

Asset managers like Lasry measure potential investments against what they could be earning by taking no risk, such as sitting on cash. At the start of 2008, the three-month Libor rate was 5 percent. Investors were paid 5 percent to sit on cash, or Lasry could take two times the risk-free rate to make a 10 percent return. Now, with three-month Libor at 25 basis points, he has to take 40 times that risk to earn the same 10 percent return, which is what investors are demanding today. Lasry also makes the point that fiercer competition has made it harder to deliver returns. He says debt that he buys at 65 or 70 cents on the dollar today might have been purchased for 60 or even 50 cents years earlier. “As people understand what we do, sellers hold out for higher prices,” he says, emphasizing that current high yields on debt issued a few years ago also keep prices higher.

Many investors assumed that financial theories were as immutable as scientific ones. But MIT’s Lo points out that academic research on finance has been written over a fairly calm period that also created an unprecedented level of wealth. Lo points out that the incredible population growth of the past 100 years, which has pushed the planet’s citizens to about 7 billion, virtually guarantees a complex and huge financial system with unrelenting competition for alpha. “We now have incredible systems and methods to move money around to the highest-yielding opportunities,” says Lo. “Ultimately, we’re depleting these opportunities by investing more than the capacity of each opportunity to take on.” Lo, 53, is also chairman and chief investment strategist of AlphaSimplex Group, a Cambridge, Massachusetts–­based quantitative investment firm he founded in 1999.

Lo is right that investing success is subject to simple laws of supply and demand, but I still had hope that alpha exists. I had spent significant time during the past year with Bennett Goodman and the other founders of credit investor GSO Capital Partners, who had previously built Donaldson, Lufkin & Jenrette’s leveraged finance business. They have shown an uncanny ability to consistently produce alpha by investing in a niche part of the markets — analyzing the credit needs of struggling companies and then devising complex one-off solutions so these companies could survive, for which GSO charged a handsome rate. But the question remained: Do alpha generators need this big of an upper hand to succeed?

If Alpha wasn’t just a ghost from markets past, I thought I might be able to uncover a few insights into how to find it at Delivering Alpha, a one-day conference co-hosted by Institutional Investor and CNBC that brings together many of the world’s top asset managers and investors to discuss key financial and economic issues. This year’s conference, on July 17, follows a tradition of taking place on the hottest day of the year, as master of ceremonies Tyler Mathisen jokingly points out from a stage in the Grand Ballroom at New York’s Pierre hotel. Not that I ever see the inside of the Grand Ballroom. I spend most of my day in a sprawling room in the Pierre’s basement, where we had brought a camera crew to film a video series addressing the current state of alpha.

Over the course of the day, I start each of my interviews with the same question: Is alpha dead?

Ashbel (Ash) Williams Jr., the 58-year-old CIO of the Florida State Board of Administration, chuckles at the question. “As long as human beings can perceive the same information differently and as long as people can disagree, there will be opportunities for alpha,” he tells me. But Williams, who at the SBA oversees $162 billion in assets, including Florida’s $82 billion state pension plan, agrees that investing has gotten much more competitive. “There are more units of stored wealth chasing opportunities perhaps than at any time in history,” he concedes.

Williams says investors need to think hard about how they can differentiate themselves. The SBA’s inherent advantages are its large size and long-term investment horizon. I want to hear more about how this differentiation fits into the quest for alpha. Though it’s an old example, Williams walks me through an investment from the early ’90s that brings the point home. At the time, many California vineyards succumbed to phylloxera, a fatal disease that gave winemakers only one option: to burn their grapevines, sterilize the soil, replant and wait. Unfortunately, 15 years can pass before grapes are suitable for wine making again. In California the long wait knocked out a lot of interest, allowing the state of Florida to buy at distressed prices some of the U.S.’s best land for grape growing.

In the early afternoon we film Hewsenian. “Oh, God. I hope not,” the Helmsley Charitable Trust’s CIO answers when I ask her if alpha is dead. She keeps her interview with me even though there’s a small crisis brewing at her office that prevents her from attending the conference that day. Like Williams, Hewsenian believes alpha is potentially plentiful when capital is scarce. Despite the intense pressure on alpha, it can still be found in what she calls “capital gaps.” But filling those gaps takes resolve, and the risks are higher than in the past. “It’s a scary thing to do, particularly when most people have spent their careers riding the beta wave,” Hewsenian says. Now, instead of allocating to traditional asset classes, she identifies broad themes, such as the growing middle class in emerging markets, and looks for ways to invest in them, going deal by deal, figuring out if the trust will be compensated for the risk involved.

Christopher Hohn, the soft-spoken head of The Children’s Investment Fund Management (UK), arrives next, clearly wanting me to stick to the ten minutes I promised him it would take for the video. When I ask him exactly how he delivers alpha (he does not think it’s dead), he offers up activist investing as one example, and he describes it as plugging a capital gap. Few investors, Hohn says, want to deal with any company that is facing a corporate governance issue, nor do they want to take on the risks, including the possible public relations gaffes, of activist investing. As an example, he points to TCI’s investment in News Corp. following its phone-hacking scandal in 2011, when most investors were fleeing the media giant.

Hohn offers an interesting way to think about activist investing. When I was reporting on Ontario Teachers’ Pension Plan last year, James Leech, its CEO, was launching a new strategy to partner with activist hedge funds and lobby for change at some of the plan’s big holdings. As many of its strategies have been copied over the years, OTPP was looking for new and creative ways to generate returns.

I was eager to talk to Fortress Investment Group principal Michael Novogratz, my final interview of the day. But it was 5:10 p.m., Novogratz had to leave the Pierre in exactly 20 minutes to make his flight out of New York, and he was nowhere to be seen.

I charged up three flights of stairs to the ballroom and grabbed the blue-eyed, green-tied hedge fund manager out of his not-so-hushed conversation at the back of the room. I asked Novogratz, co-CIO of Fortress Macro Funds, if he could walk a little faster to the basement where we were filming, because I didn’t want to miss my opportunity to talk to a macro trader who bets on the fluctuations of the global economy about whether alpha was dead.

Alpha should be available to managers who can make sense of an investment hairball. Though many investing techniques have been codified, overprocessed and laid bare in the academic literature for others to try to copy, macro investing relies in part on intuition and hard-to-document insights. The complexity offers the opportunity for alpha, even if there’s also plenty of risk to go along with that chance for outperformance.

“Macro investing is an interesting sport,” says Novogratz, laughing. He explains that he analyzes tons of data points and political and cultural influences and watches the ballet of the financial charts. “Your alpha is how you process that information.”

As an example, Novogratz points to his group’s “Abenomics” trade earlier this year, which was based on the fact that two key Japanese policymakers — Prime Minister Shinzo Abe and Haruhiko Kuroda, governor of the Bank of Japan — were willing to take a radical stance in a society that encourages conformity. The same stance in Canada would not have caught his attention. Novogratz was betting that after Abenomics was put into play, an entire generation of Japanese traders who had grown up with a stagnant bond market and an underinvested stock market would be completely unprepared for the ensuing volatility. He was right.

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