Industrial Engineering & Management

Kosrow Dehnad

Publications

• Research Article
  The Illusive Alpha and Useless Beta Mathematical Elegance without Market Relevance
  Author(s): Kosrow Dehnad Kosrow Dehnad
  
  The concepts of alpha (α) and beta (β) have attained ubiquitous presence in the investment jargon of our times and are the bedrock of Modern Portfolio Theory (MPT) and the Nobel Prize-winning Capital Asset Pricing Model (CAPM). Portfolio managers routinely boast of their superior skills in generating alpha-their excess return relative to their benchmark. Copying the newest fad, hedge funds and proprietary trading desks tack on ‘alpha’ to the name of newfangled funds. Strategies are hawked as “portable alpha” and claimed to be the panacea for outperforming an index. On Main Street, the local postman-turned-investor logs on to Seeking Alpha.com to get the inside tip for the next big “two-bagger”. Alas, few mangers-and even fewer retail investors-have been able to consistently generate this everelusive alpha. .. Read More»
  DOI: 10.4172/2169-0316.1000157

  Abstract PDF