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Alpha and Beta in an Exposure based Framework

Pranay Gupta
Quantitative Investment Solutions

Jan Straatman
ABP Investments


July 17, 2005


Abstract:     
This paper proposes a philosophy, which generalises the concepts of alpha and beta in its various forms. We argue that in a generalised form the demarcation is actually one between commoditised and non-commoditised beta exposures. This demarcation changes as the market evolves. We further discuss the implications of this framework for active investment processes and the conceptual understanding of portable alpha strategies and risk management.

Keywords: alpha, beta, CAPM, exposure, risk, strategy, hedge funds, asset class

JEL Classifications: G10, G11, G12, G15

Working Paper Series

Date posted: August 04, 2005 ; Last revised: October 12, 2007

Suggested Citation

Gupta, Pranay and Straatman, Jan, Alpha and Beta in an Exposure based Framework (July 17, 2005). Available at SSRN: http://ssrn.com/abstract=765064


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Contact Information

Pranay Gupta (Contact Author)
Quantitative Investment Solutions ( email )
New York, NY 10001
United States
212-252 2722 (Phone)
Jan Straatman
ABP Investments ( email )
P.O. Box 2889
6401 DJ Heerlen Netherlands
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References: 7
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