Vega

As all portfolio managers who have ever bought an apartment know, in the immortal words of Candadian songstress Suzanne Luca:

My name is Vega

I live on the second floor

I lives upstairs from you

Yes I think I've seen you before

Vega is, technically, "the rate of change in volatility of an option", meaning the greater the volatility the more vega you have. Volatility is affected by a number of things, but most commonly by leverage - or borrowing money from the bank to make more of a speculative investment than you can actually afford. Hence the smarty-pants reference to apartments for, if you've ever bought one with the assistance of mortgage finance, you've amped up your vega.

Vega is also one of the Greeks. As classicists are fond of reminding the youngsters, Vega is not actually the name of any Greek letter (the Greek letter "v" is called nu), but this only goes to show portfolio managers tend to know more about Canadian singer songwriters than they do about classical typography. And if you didn't know that you've got bigger things to worry about.

Anyway, vega is relevant, if you're really interested, in the calculation of Black-Scholes formulae for pricing European options, but it is more relevant in that it is frequently (and some might say) wilfully) mistaken for alpha by uninspiring fund managers and their associates. If you ever see the expression leveraged alpha you may be fairly sure there's some buffoonery at work, and the victim of it is most likely to be you.

Leveraged Alpha

Snake Oil, basically.

Leveraged alpha is technically possible, but in practice harder to find than the proverbial West Coast Pub on Anzac Day. 

what most people claim to be leveraged alpha is, usually, really plain old vega - that is, just leverage. If your market benchmark is beating the borrowing rate, you will make money by borrowing.

If someone pitches "leveraged alpha" product to you, they are most likely a charlatan - which you would expect, it being the financial markets and all - and a mediocre manager. Especially if they use backtesting to demonstrate their historical alpha.

Go hunting for charlatans here. 

Greeks

It is a little-known fact that the expression "beware of Greeks bearing gifts" is not an oblique reference to the Iliad, but in fact a truism handed down through generations of portfolio managers warning their young kinfolk about the perils of option pricing. The full expression is:

Beware of Greeks bearing gifts, especially vega and leveraged alpha.

Greeks, in financial argot, refer to letters in the Greek Alphabet - alpha, beta, delta, and vega*, and they are approximations representing the market sensitivities of options or other derivatives. Each Greek measures a different aspect of the risk in an option position. Through understanding and managing these Greeks, financial market participants can manage their risks appropriately, whether they deal in OTC or exchange-traded options.

Through mangling them, and particularly by conflating alpha and vega, less talented market participants can make their structured products sound a lot cleverer and more exotic than in truth they really are.

*Classicists may notice that Vega isn't actually a letter in the Greek Alphabet, but a Canadian Singer-Songwriter.