Sat, Mar 17, 2018
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

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. Performance - Hedge fund mojo is back with investor hopes at six-year high, These hedge funds produce the most consistently great results[more]

    Hedge fund mojo is back with investor hopes at six-year high From Hedge funds on the heels of a surprisingly strong performance in 2017 are raising hopes for an encore. Investors expect their managers to return 8.5 percent in 2018, according to a Credit Suisse Group AG sur

  2. Investing - Hedge funds amass big bets against world's leading advertisers, Investor Elliott Management buys tiny stake in Wipro[more]

    Hedge funds amass big bets against world's leading advertisers From Hedge funds have amassed bearish bets of more than $3bn against the world's largest advertising companies in an attempt to profit as the industry undergoes ongoing wrenching disruption and slowing growth. Funds i

  3. News Briefs - Investcorp to launch a $100 million PE fund for Omani pension funds[more]

    Bahrain-based investment firm Investcorp will soon launch a $100 million fund dedicated to Oman's Pension Funds as part of its investment plan. 'The Opportunities Fund' will be focused on private equity investments in the U.S. and Europe and will target mid-sized companies across a broad range of se

  4. DoubleLine's Gundlach sees U.S. 10-year Treasury yield rising, weighing on stocks[more]

    From Reuters/ Jeffrey Gundlach, the chief executive of DoubleLine Capital and known on Wall Street as the "Bond King," said on Tuesday the yield on the U.S. 10-year Treasury note will likely move higher and pressure riskier assets including equities and junk bonds. Gundlach, on an

  5. SEC charges Theranos CEO Holmes with fraud[more]

    Bailey McCann, Opalesque New York: The SEC has charged Elizabeth Holmes, founder and CEO of Theranos and its former President Ramesh "Sunny" Balwani with raising more than $700 million from investors through an elaborate, years-long fraud in which they exaggerated or made false statements about t