http://allaboutalpha.com/blog/2007/10/24/siegel-carefully-selected-exotic-betas-are-worthwhile/ Hedge funds, portable alpha, 130/30 and alpha-centric investing Fri, 19 Mar 2010 07:52:26 +0000 http://wordpress.org/?v=abc hourly 1 http://allaboutalpha.com/blog/2007/10/24/siegel-carefully-selected-exotic-betas-are-worthwhile/comment-page-1/#comment-36150 Sunday links: falling hard and fast « Abnormal Returns Sun, 28 Oct 2007 13:24:25 +0000 http://allaboutalpha.com/blog/2007/10/24/siegel-carefully-selected-exotic-betas-are-worthwhile/#comment-36150 [...] The need to carefully select “exotic betas.” (All About Alpha) [...] [...] The need to carefully select “exotic betas.” (All About Alpha) [...]

]]> http://allaboutalpha.com/blog/2007/10/24/siegel-carefully-selected-exotic-betas-are-worthwhile/comment-page-1/#comment-35286 Walt French Thu, 25 Oct 2007 04:09:26 +0000 http://allaboutalpha.com/blog/2007/10/24/siegel-carefully-selected-exotic-betas-are-worthwhile/#comment-35286 Of course, the real beauty of the long-short strategies such as Larry mentions is that their Sharpe Ratios can be had without giving up a dime of your equity premium. Unless their pattern of variabilities are identical (and they're closer to orthogonal, at least compared to the broad equity market), a combination will have a higher Sharpe Ratio than either component -- possibly, quite a bit higher. Of course, the real beauty of the long-short strategies such as Larry mentions is that their Sharpe Ratios can be had without giving up a dime of your equity premium. Unless their pattern of variabilities are identical (and they’re closer to orthogonal, at least compared to the broad equity market), a combination will have a higher Sharpe Ratio than either component — possibly, quite a bit higher.

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