Quant Nugget 3: Common Misconceptions About 'Beta' - Hedging, Estimation and Horizon Effects
SYMMYS; Kepos Capital
June 3, 2010
GARP's Risk Professional Magazine, June 2010
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, G11Accepted Paper Series
Date posted: June 3, 2010 ; Last revised: October 11, 2010
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