Abstract

http://ssrn.com/abstract=765064
 
 

References (7)



 
 

Citations (2)



 


 



Alpha and Beta in an Exposure based Framework


Pranay Gupta


Global Association of Alternative Investors

Jan Straatman


Lombard Odier Investment Management

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.

Number of Pages in PDF File: 8

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

JEL Classification: G10, G11, G12, G15

working papers series


Download This Paper

Date posted: August 4, 2005  

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 or http://dx.doi.org/10.2139/ssrn.765064

Contact Information

Pranay Gupta (Contact Author)
Global Association of Alternative Investors ( email )
244 Fifth Ave, # 2705
New York, NY 10001
United States
Jan Straatman
Lombard Odier Investment Management ( email )
Queensberry House
3 Old Burlington Street
London, W1S 3AB
United Kingdom
+44 7887 456990 (Phone)
+44 7887 456990 (Fax)
HOME PAGE: http://www.lombardodier.com
Feedback to SSRN


Paper statistics
Abstract Views: 4,053
Downloads: 1,262
Download Rank: 7,705
References:  7
Citations:  2
People who downloaded this paper also downloaded:
1. A New Look at Minimum Variance Investing
By Bernd Scherer

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.312 seconds