http://allaboutalpha.com/blog/2007/02/05/beta-arbitrage-as-an-alpha-opportunity/ 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/2007/02/05/beta-arbitrage-as-an-alpha-opportunity/comment-page-1/#comment-289549 macky banzon Fri, 04 Mar 2011 09:34:12 +0000 http://allaboutalpha.com/blog/2007/02/05/beta-arbitrage-as-an-alpha-opportunity/#comment-289549 interesting piece of article. james montier is an analyst i admire. i have found a good resource page on him: http://www.eurosharelab.com/james-montier-resource-page interesting piece of article. james montier is an analyst i admire. i have found a good resource page on him: http://www.eurosharelab.com/james-montier-resource-page

]]> http://allaboutalpha.com/blog/2007/02/05/beta-arbitrage-as-an-alpha-opportunity/comment-page-1/#comment-3367 allaboutalpha.com: Welcome to AllAboutAlpha.com Mon, 23 Apr 2007 01:15:09 +0000 http://allaboutalpha.com/blog/2007/02/05/beta-arbitrage-as-an-alpha-opportunity/#comment-3367 [...] High Leverage: Despite the fun stories from the LTCM or Amaranth debacles, hedge funds employ between 1.2 and 1.5 times leverage according to research cited by Easterling.  If you’re searching for leverage, though, look no further than a typical high beta growth fund which has a lot of leverage - embedded in the balance sheets of the funds holdings as opposed to the books of the mutual fund itself.  (Ironically, recent research on the CAPM shows that levering up a low beta stock is better than actually buying a high beta name outright).  [...] [...] High Leverage: Despite the fun stories from the LTCM or Amaranth debacles, hedge funds employ between 1.2 and 1.5 times leverage according to research cited by Easterling.  If you’re searching for leverage, though, look no further than a typical high beta growth fund which has a lot of leverage – embedded in the balance sheets of the funds holdings as opposed to the books of the mutual fund itself.  (Ironically, recent research on the CAPM shows that levering up a low beta stock is better than actually buying a high beta name outright).  [...]

]]> http://allaboutalpha.com/blog/2007/02/05/beta-arbitrage-as-an-alpha-opportunity/comment-page-1/#comment-3268 allaboutalpha.com: Welcome to AllAboutAlpha.com Fri, 20 Apr 2007 13:15:06 +0000 http://allaboutalpha.com/blog/2007/02/05/beta-arbitrage-as-an-alpha-opportunity/#comment-3268 [...] Hat tip to the CXO Advisory blog for bringing this recent paper to our attention. It’s an interesting addendum to our posting on beta arbitrage last month. As you may recall, Tuomo Vuolteenaho, a Harvard prof moonlighting at ArrowStreet in Boston said that high beta stocks didn’t actually provide the higher returns that CAPM would suggest. As a result, he said, an investor should short high beta stocks and go long low beta stocks. [...] [...] Hat tip to the CXO Advisory blog for bringing this recent paper to our attention. It’s an interesting addendum to our posting on beta arbitrage last month. As you may recall, Tuomo Vuolteenaho, a Harvard prof moonlighting at ArrowStreet in Boston said that high beta stocks didn’t actually provide the higher returns that CAPM would suggest. As a result, he said, an investor should short high beta stocks and go long low beta stocks. [...]

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