http://allaboutalpha.com/blog/2008/01/28/research-finds-most-equity-indices-actually-contain-alpha/ 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/2008/01/28/research-finds-most-equity-indices-actually-contain-alpha/comment-page-1/#comment-78209 Index Alpha | Risk and Return Sun, 03 Feb 2008 15:14:21 +0000 http://allaboutalpha.com/blog/2008/01/27/research-finds-most-equity-indices-actually-contain-alpha/#comment-78209 [...] All About Alpha examines the results of a paper in the January 2008 edition of the Journal, European Financial Management which shows Steve had it right: In other words, these “selection and exclusion rules” constitute active management (much to the delight, we’re guessing of Fundamental Indexation proponents). In fact, the authors say these rules have an effect remarkable similar to recognized trading strategies “such as momentum, autocorrelation and the limitation of tail risks.” [...] [...] All About Alpha examines the results of a paper in the January 2008 edition of the Journal, European Financial Management which shows Steve had it right: In other words, these “selection and exclusion rules” constitute active management (much to the delight, we’re guessing of Fundamental Indexation proponents). In fact, the authors say these rules have an effect remarkable similar to recognized trading strategies “such as momentum, autocorrelation and the limitation of tail risks.” [...]

]]> http://allaboutalpha.com/blog/2008/01/28/research-finds-most-equity-indices-actually-contain-alpha/comment-page-1/#comment-76254 moom Tue, 29 Jan 2008 06:02:23 +0000 http://allaboutalpha.com/blog/2008/01/27/research-finds-most-equity-indices-actually-contain-alpha/#comment-76254 How is a 130/30 index different to all the various hedge fund indices out there? How is a 130/30 index different to all the various hedge fund indices out there?

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