http://allaboutalpha.com/blog/2006/09/15/the-cult-of-beta/ A finance blog about hedge funds, portable alpha and alternative investing. Thu, 09 Feb 2012 19:03:08 +0000 http://wordpress.org/?v=abc hourly 1 http://allaboutalpha.com/blog/2006/09/15/the-cult-of-beta/comment-page-1/#comment-112 All About Alpha » Blog Archives » What Exactly is “Market Neutral” Anyway? Tue, 05 Dec 2006 16:39:15 +0000 http://allaboutalpha.com/blog/2006/09/15/the-cult-of-beta/#comment-112 [...] As we’ve discussed on this blog, beta is the product of two numbers: the correlation (r) and the volatility relative to the market’s volatility (i.e. volatility as a percentage of the market’s volatility).  Let’s further assume that the beta of Stock “A” has an r-squared of 0.25 and the beta of Stock “B” also has an r-squared of 0.25.  Basically, we’re not sure exactly how either stock will behave vs. the market as their correlations (r) are both only 0.5. [...] [...] As we’ve discussed on this blog, beta is the product of two numbers: the correlation (r) and the volatility relative to the market’s volatility (i.e. volatility as a percentage of the market’s volatility).  Let’s further assume that the beta of Stock “A” has an r-squared of 0.25 and the beta of Stock “B” also has an r-squared of 0.25.  Basically, we’re not sure exactly how either stock will behave vs. the market as their correlations (r) are both only 0.5. [...]

]]> http://allaboutalpha.com/blog/2006/09/15/the-cult-of-beta/comment-page-1/#comment-11 Alpha Betas « Abnormal Returns Mon, 18 Sep 2006 19:16:51 +0000 http://allaboutalpha.com/blog/2006/09/15/the-cult-of-beta/#comment-11 [...] One challenge not always recognized is that beta, while somewhat intuitive, is not always well understood. This point was driven home to us in a post up over at the (new to us) All About Alpha blog. Their point is that beta is product of two different measures which can meaningfully change what beta really measures for any instrument. Read the whole post (and graphs) to get a fuller take on their interesting argument. [...] [...] One challenge not always recognized is that beta, while somewhat intuitive, is not always well understood. This point was driven home to us in a post up over at the (new to us) All About Alpha blog. Their point is that beta is product of two different measures which can meaningfully change what beta really measures for any instrument. Read the whole post (and graphs) to get a fuller take on their interesting argument. [...]

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