All About Alpha has a great Andrew Lo graphic depicting how Alpha eventually morphs into Beta:

Alpha_to_beta

Sources:
A picture of the “betafication” of alpha
29 July 2008
http://allaboutalpha.com/blog/2008/07/29/a-picture-of-the-betafication-of-alpha/

What will happen to the quants in August 2017?
Andrew Lo
MIT and AlphaSimplex
http://www.nyu.edu/sofie/slides/Lo.ppt

Category: Markets, Mathematics

Please use the comments to demonstrate your own ignorance, unfamiliarity with empirical data and lack of respect for scientific knowledge. Be sure to create straw men and argue against things I have neither said nor implied. If you could repeat previously discredited memes or steer the conversation into irrelevant, off topic discussions, it would be appreciated. Lastly, kindly forgo all civility in your discourse . . . you are, after all, anonymous.

8 Responses to “Alpha Into Beta”

  1. VennData says:

    Anybody’s who’s evaluating hedge fund performance must read his book, ‘HedgeFunds – An Analytical Perspective.’

  2. bobn says:

    Haven’t most of our alphas gone to omegas these days? or zetas, or whatever?

  3. Jeff says:

    Maria “I scored a zero on Jeopardy” Bartiromo on with Mr. Bubble-maker right now throwing more softballs at him. How helpful.

  4. Joe says:

    Hmmm … I don’t think I understood most of that, but I feel kind of impressed with myself that I tried.

  5. Dave says:

    Hmmm… this was my point about the future of fusion iq if it is in fact a producer of alpha.

  6. that link, Lo’s .ppt, is radical. esp. p.7

  7. Rich_Lather says:

    Hmmm… this was my point about the future of fusion iq if it is in fact a producer of alpha.

    Posted by: Dave

    exactly. reflexology in Soros-speak. It has played out before our eyes in oil prices. Historic peaks get announced every April and September until the greed catches on, smears out the peak, and makes it go vertical. I was surprised to see the July divot after all that has gone on the past year. Yes, folks, that’s a buy signal for oil.

  8. FutureDave says:

    I don’t even think there are that many steps to it. What percentage of stocks are being purchased by funds that are trying to mirror market performance in some way? Isn’t it about 100%?

    When is the last time you heard of someone looking at the product that a company manufactures, and investing in the stock based on the quality of the product?

    If I had enough money to short my own mutual fund, I could make that chart work in reverse.