Comments on: Beta and Alpha http://www.thefinancialblogger.com/beta-and-alpha/ This is where your finance takes place Fri, 19 Mar 2010 14:56:46 +0000 http://wordpress.org/?v=2.9 hourly 1 By: Intelligent Speculator | ETF’s popularity continues to soar http://www.thefinancialblogger.com/beta-and-alpha/comment-page-1/#comment-5400 Intelligent Speculator | ETF’s popularity continues to soar Fri, 27 Mar 2009 10:01:29 +0000 http://www.thefinancialblogger.com/beta-and-alpha/#comment-5400 [...] Just when you though that maybe ETF’s were perhaps starting to lose a bit of their “in” factor, a new class of ETF’s has been unveiled that could restart the whole trend. In Canada, “Betapro” ETF’s are high volume ETF’s that are usually leveraged and track known indexes such as commodities or stock indexes. Now, the company behind those is launching “alphapro”, a class of ETF’s that would track the trades done by “guru’s” of finance. Of course, the idea behind it is to be able to generate alpha. [...] [...] Just when you though that maybe ETF’s were perhaps starting to lose a bit of their “in” factor, a new class of ETF’s has been unveiled that could restart the whole trend. In Canada, “Betapro” ETF’s are high volume ETF’s that are usually leveraged and track known indexes such as commodities or stock indexes. Now, the company behind those is launching “alphapro”, a class of ETF’s that would track the trades done by “guru’s” of finance. Of course, the idea behind it is to be able to generate alpha. [...]

]]> By: Sam http://www.thefinancialblogger.com/beta-and-alpha/comment-page-1/#comment-2993 Sam Thu, 14 Aug 2008 14:24:32 +0000 http://www.thefinancialblogger.com/beta-and-alpha/#comment-2993 The key here is the fact that pure alpha is theoretically uncorrelated with beta. And that makes it a potentially very valuable addition to an investor's portfolio. Moreover, the separation of beta and alpha make it much easier for an investor to define and control his or her exposure to risk. For example, assume that your target asset allocation leads to a portfolio with an expected annual standard deviation of returns (volatility) of 15%, based on beta risk alone. You could then say, "I'm willing to take on a further 1% in risk in pursuit of additional alpha returns". This type of calculation is close to impossible to make in a world of long-only actively managed funds that combine alpha and beta exposure. It is only when beta and alpha investing are separated that it becomes theoretically possible. Sam Fix My Personal Finance http://fixmypersonalfinance.com The key here is the fact that pure alpha is theoretically uncorrelated with beta. And that makes it a potentially very valuable addition to an investor’s portfolio. Moreover, the separation of beta and alpha make it much easier for an investor to define and control his or her exposure to risk. For example, assume that your target asset allocation leads to a portfolio with an expected annual standard deviation of returns (volatility) of 15%, based on beta risk alone. You could then say, “I’m willing to take on a further 1% in risk in pursuit of additional alpha returns”. This type of calculation is close to impossible to make in a world of long-only actively managed funds that combine alpha and beta exposure. It is only when beta and alpha investing are separated that it becomes theoretically possible.

Sam
Fix My Personal Finance
http://fixmypersonalfinance.com

]]> By: Richard http://www.thefinancialblogger.com/beta-and-alpha/comment-page-1/#comment-2992 Richard Thu, 14 Aug 2008 12:07:47 +0000 http://www.thefinancialblogger.com/beta-and-alpha/#comment-2992 Not a problem. I'm honored. Not a problem. I’m honored.

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