Alpha and Beta in an Exposure based Framework
Global Association of Alternative Investors
Lombard Odier Investment Management
July 17, 2005
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.
Number of Pages in PDF File: 8
Keywords: alpha, beta, CAPM, exposure, risk, strategy, hedge funds, asset class
JEL Classification: G10, G11, G12, G15working papers series
Date posted: August 4, 2005
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