Fri, May 25, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Definition of alpha and beta puzzles physicists and academics

Wednesday, September 26, 2012

amb
Per Ivarsson
From Komfie Manalo, Opalesque Asia:

The definition of alpha and beta is still a puzzle for many physicists and academics across the globe, said Per Ivarsson, head of Investment Management at Risk & Portfolio Management (RPM), an asset manager focused on managed futures, during the latest Opalesque Nordic Roundtable.

This Roundtable was sponsored by Salus Alpha, a UCITS funds and managed accounts provider, and the exchange group Eurex; it was held in Stockholm less than a month ago.

Ivarsson, a physicist and economist by training, told the Roundtable participants, "Even after 15 years in the industry, the concept of alpha and beta still puzzles me. I still do not really have a clear definition that I am happy with. My understanding is that by beta, people mean correlation with some sort of index. For me an index is just another trading strategy, an index is not really THE market."

He explained that an index is a very common trading strategy, and like many other strategies, it tends to get crowded as investors move in. He thinks institutions with large allocations to index investing are taking a somewhat dangerous route. The index is not the market but just anoth......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Investing - Hedge funds hike Smurfit Kappa positions amid takeover deal hopes, Hedge fund IBV Capital digs deep to unlock long-term value in a competitive market, Eisman of 'The Big Short' fame recommends shorting Deutsche Bank[more]

    Hedge funds hike Smurfit Kappa positions amid takeover deal hopes From Irishtimes.com: Two US hedge funds, Davidson Kempner and York Capital, have accumulated a combined 4.74 per cent interest in cardboard box maker Smurfit Kappa using financial derivatives. It comes as many investors cl

  2. Foundations of hedge fund managers gave big to controversial donor-advised funds[more]

    In the world of philanthropy and tax-deductible charitable giving, the explosion of donor-advised funds has touched off intense debate. Now, there is evidence that the DAF boom is being further fuelled by hedge fund foundation money. Four of the top five foundations that gave the most to large do

  3. Third Point to raise $400 million for SPAC, Farley to run it[more]

    From Reuters.com: Daniel Loeb's hedge fund Third Point LLC plans to raise $400 million for a "blank check" company which will be run by outgoing stock market operator NYSE Group President Thomas Farley, according to a regulatory filing made on Tuesday. The new company, referred to on Wall Stre

  4. Study: For hedge funds, smaller is better[more]

    From Institutionalinvestor.com: The smaller the hedge fund is, the better its performance is likely to be, according to a new study. The study - "Size, Age, and the Performance Life Cycle of Hedge Funds," released April 26 - sought to determine whether a hedge fund's size and age had any effect on i

  5. Hedge fund returns rose in April for first gain since January[more]

    From Bloomberg.com: Bloomberg Hedge Fund Database shows returns flat this year - Currency strategies had the biggest monthly gain at 13% Hedge fund returns increased 0.78 percent in April, reversing two consecutive monthly declines. The swing of 134 basis points was driven by gains in all seven