Finding Alpha: The Search for Alpha When Risk and Return Break Down
| Author | : | |
| Rating | : | 4.78 (527 Votes) |
| Asin | : | 0470445904 |
| Format Type | : | paperback |
| Number of Pages | : | 298 Pages |
| Publish Date | : | 2015-05-27 |
| Language | : | English |
DESCRIPTION:
Like Columbus, Falkenstein challenges standard thinking, only this time about risk and reward. van Deventer, PhD, founder and Chief Executive Officer, Kamakura Corporation"People dismissed Columbus when he said the world was round. Author Eric Falkenstein-a PhD who has also been a risk manager and portfolio manager—tells the story of alpha from its beginnings to its current reversal, where risk is now evidenced by return as opposed to vice versa.Falkenstein begins by walking readers through the Capital Asset Pricing Model (CAPM), as well as other well-documented theories about risk and return, and explores how these theories measure up to current empirical evidence being documented by researchers and academics. Praise for Finding Alpha"Eric Falkenstein is more than one of the smartest and funniest people in finance. To this day, I think Eric's private firm default model is one of the best pa
The article, later corroborated in many subsequent studies, was to be one of the most heavily cited Journal of Finance articles in its history. That is the risk-taking that leads to greater returns. Since that groundbreaking article was published, practitioners have been left asking: So how do we find alpha if we can't measure risk? Finding Alpha offers a new approach to finding alpha, backed by current empirical evidence and grounded in the notion that risk and return are not necessarily correlated. From the Inside Flap In 1992, a long-established finance theory was turned upside down when researchers published a paper in the Journal of Finance—later cited in the New York Times—which documented that the main empirical implication of the Capital Asset Pricing Model (CAPM) was untrue: that is, that "beta" was not positively related to stock returns. The basic model of risk and return that academics had taught
David N. Violette said Intellectually gratifying but organizationally challenging. Having been a daily reader, and fan, of the author's blog I was looking forward to more of his thought process concerning the lack of reward for risk-taken. While I have not done any of the primary research on the topics discussed, through suspicion (I am a cynical brat) and experience I agree with the author's propositions. However, I found the book to contain annoying redundancies and it was often difficult to follow it's "jumpiness" and linguistic gymnastics. I was also disappointed with the numerous typos/grammatical errors - I am not an English major nor language snob but I think the editorial quality should have b. Andrew West said Though Provoking and Important Book. Eric Falkenstein's book Finding Alpha is a thought provoking book that focuses on the most important issues for a financial practitioner - risk and return. He integrates a variety of research and data sources, some of which are his own, into an unexpected, yet coherent worldview, namely that risk and return are not generally positively correlated.Falkenstein reaches four basic conclusions:For most assets, the rate of return is unrelated to its volatility.Really safe assets have below average returnsReally volatile assets have below average returnsInvestors are overconfident, creating excess costs and position concentrat. Aaron C. Brown said A frustrating mixture of valuable insights and deep flaws. Edit: I'm not going to rewrite this review, it's an honest account of what I thought after reading the book. But I've raised the rating to five stars and want to add the comment that I appreciate it more after letting it settle for a year, and after rereading some parts. I still think it's sloppy and doesn't give enough credit to others, but I take back the mean line about not having read the references and not understanding Minksky (I think I must have been a bit mad after wading through the sloppiness). On further reflection, the good points have grown better while the flaws remain the same.What I like about this book
His hedge fund activities are ongoing and, by law, proprietary. The celebrated tool is used by banks worldwide, as well as by regulators and Moody's own CDO group. Between 1996 and 2002, Falkenstein formed his own investment company, the Falken Fund, which had returns of 16.0% versus 3.8% for the S&P500. . He is a consultant and a member of CapRock Advisors LLC, a hedge fund advisor. Eric Falkenstein, PhD, developed the RiskCalcTM, the world'