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Quant Nugget 3: Common Misconceptions About 'Beta' - Hedging, Estimation and Horizon Effects


Attilio Meucci


SYMMYS; Kepos Capital
June 3, 2010

GARP's Risk Professional Magazine, June 2010

Abstract:     
The intuitive meaning of "beta" is well known to all risk and portfolio managers: the beta is the sensitivity of the return on a given asset to a given risk factor. The applications of the "beta" are manifold, from risk computation and analysis to hedging. However, the precise definition and computation of the beta is far from trivial.

Number of Pages in PDF File: 6

Keywords: Factors on Demand, hedging, factors, exposures

JEL Classification: C1, G11

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Date posted: June 3, 2010 ; Last revised: October 11, 2010

Suggested Citation

Meucci, Attilio, Quant Nugget 3: Common Misconceptions About 'Beta' - Hedging, Estimation and Horizon Effects (June 3, 2010). GARP's Risk Professional Magazine, June 2010. Available at SSRN: http://ssrn.com/abstract=1619923

Contact Information

Attilio Meucci (Contact Author)
SYMMYS ( email )
HOME PAGE: http://www.symmys.com
Kepos Capital ( email )
Feedback to SSRN (Beta)


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