The Five Faces of Alpha
| Apr 6th, 2010 | Filed under: CAIA Alternative Viewpoints Columns, CAPM / Alpha Theory, Today's Post | By: Guest |
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As we have noted over the past several years, alpha is notoriously difficult to define and isolate since its existence depends not only on the target being observed, but on the perspective of its observer. The more we study alpha, it seems, the less we know about it.
We are reminded of this irony by today’s CAIA guest post. Erik Einertson is with Los Angeles quant manager First Quadrant. (Regular readers may remember this guest post by Einertson’s colleague Jia Ye.) He takes a very comprehensive look at what is and what isn’t true alpha – so comprehensive that we decided to deliver it in two parts with part one below. More…
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a= P-(B*(mp)+(B*(HF-FF))
should be: a= P-(B*(mp)+B*(HF-FF))
no?