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FREE Shipping on orders over View full product details. Order now, only 0 left in stock! QTY Add to cart. The beta is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors. A beta below 1 can indicate either an investment with lower volatility than the market, or a volatile investment whose price movements are not highly correlated with the market. An example of the first is a treasury bill: An example of the second is gold. The price of gold does go up and down a lot, but not in the same direction or at the same time as the market.
A beta above 1 generally means that the asset both is volatile and tends to move up and down with the market. An example is a stock in a big technology company. Negative betas are possible for investments that tend to go down when the market goes up, and vice versa. There are few fundamental investments with consistent and significant negative betas, but some derivatives like equity put options can have large negative beta values. Investments with a high beta value are often called "beta investments", as opposed to "alpha investments" which typically have lower volatility and lower returns.
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Separating returns into alpha and beta can also be applied to determine the amount and type of fees to charge. The consensus is to charge higher fees for alpha incl.
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The topic has received increasing levels of attention due to the very rapid growth of the hedge fund industry, where investment companies typically charge fees higher than those of mutual funds , based on the assumption that hedge funds are alpha investments. Following this paper, several groups of academics such as Thomas Schneeweis et al. Following this, a paper has discussed whether investable strategies based on such factors can not only explain past returns, but also replicate future ones.
Traditional betas can be seen as those related to investments the common investor would already be experienced with examples include stocks and most bonds. The definition of alternative beta in contrast requires the consideration of other investment techniques such as short selling, use of derivatives and leverage - techniques which are often associated with the activities of hedge funds.
Alternative Alternatives: Risk, Returns and Investment Strategy
The underlying non-traditional investment risks are often seen as being riskier, as investors are less familiar with them. Viewed from the implementation side, investment techniques and strategies are the means to either capture risk premia beta or to obtain excess returns alpha. Whereas returns from beta are a result of exposing the portfolio to systematic risks traditional or alternative , alpha is an exceptional return that an investor or portfolio manager earns due to his unique skill, i. Academic studies as well as their performance in recent years strongly support the idea that the return from hedge funds mostly consists of alternative risk premia.
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This is the basis of the various approaches to replicate the return profile of hedge funds by direct exposures to alternative beta hedge fund replication. There are currently two main approaches to replicate the return profile of hedge funds based on the idea of Alternative Betas: From Wikipedia, the free encyclopedia. In traditional investments, the volatile beta investments are managed to balance risk and return. For alternative investments, this management is called "alternative beta".