Wed, Jul 27, 2016
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. Opalesque Exclusive: California-based manager launches long/short equity hedge fund with unique algorithm[more]

    Benedicte Gravrand, Opalesque London for New Managers: SJL Capital LLC, an investment advisory firm based in California, has launched its maiden fund, the SJL MarketDNA Hedge Fund LP. The fund, which began trading

  2. Manny Roman to move from Man to Pimco[more]

    Benedicte Gravrand, Opalesque London: Emmanuel (Manny) Roman, an investment world veteran, has been hired by PIMCO, the large US bond fund house, as chief executive officer. PIMCO's current CEO Douglas Hodge will assume a new role as managing director and senior advisor when Roman joins P

  3. Opalesque Exclusive: ArbitrOption outperforms benchmarks, up 7.18% in H1[more]

    Komfie Manalo, Opalesque Asia: Independent registered advisor ArbitrOption breezed through the tumultuous Brexit referendum and outperformed its benchmarks. ArbitrOption was up 7.18% in the first half of 2016 compared to the S&P 500 which gain

  4. Europe - European hedge funds shrink and shutter as turmoil hurts returns, Investors go bargain-hunting for U.K. property after Brexit vote, Brexit: Guidance for fund directors - what to know and what to ask[more]

    European hedge funds shrink and shutter as turmoil hurts returns From Bloomberg.com: Europe’s hedge-fund industry contracted for a sixth straight quarter as the U.K.’s decision to leave the European Union and concerns that China’s growth is slowing caused losses and forced some money man

  5. Platinum Partners starts liquidation of hedge funds following municipal union kickback scandal[more]

    Komfie Manalo, Opalesque Asia: Platinum Partners, the hedge fund in the middle of a New York City municipal union kickback investigation, is reported to be liquidating two of its funds, the New