tag:blogger.com,1999:blog-5880610.post4001790661470270579..comments2024-01-13T18:57:18.243-05:00Comments on Information Processing: Fake alpha, tail risk and compensation in financeSteve Hsuhttp://www.blogger.com/profile/02428333897272913660noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-5880610.post-26462164896388241342008-09-28T23:27:00.000-04:002008-09-28T23:27:00.000-04:00Fake alpha is a big and real problem indeed.It is ...Fake alpha is a big and real problem indeed.<BR/>It is very widespread.<BR/>Just selling straight krach put (put that insure against a daily drop of more than x pct) is a clear case of that.<BR/><BR/>But it is not always so clear what we call alpha and we call beta.<BR/><BR/>If I sell a "tail risk" that never happens, did I make alpha or beta?<BR/><BR/>Or, if I sell a "tail risk" and buy another Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-5880610.post-35093749958497274192008-01-29T21:09:00.000-05:002008-01-29T21:09:00.000-05:00Sorry, the URL got garbled. Let me try again.Sorry, the URL got garbled. Let me try <A HREF="http://www.imf.org/external/np/speeches/2006/060806.htm" REL="nofollow">again</A>.Sethhttps://www.blogger.com/profile/16486234948199900568noreply@blogger.comtag:blogger.com,1999:blog-5880610.post-28374236907531608992008-01-29T21:07:00.000-05:002008-01-29T21:07:00.000-05:00What bugs me is Rajan has been saying this for age...What bugs me is Rajan has been saying this for ages, and in exactly the right company. (Check <A HREF="http://www.imf.org/external/np/speeches/2006/060806.htm<br/>" REL="nofollow">this</A> out, for example.)<BR/><BR/>There is no excuse for our regulatory agencies to cry "who knew?" This concept has been called "Rajan risk" for at least two years. <BR/><BR/>I really doubt the economists on Sethhttps://www.blogger.com/profile/16486234948199900568noreply@blogger.comtag:blogger.com,1999:blog-5880610.post-52979355164784588392008-01-29T00:16:00.000-05:002008-01-29T00:16:00.000-05:00More easily, investors and banks could just stop p...More easily, investors and banks could just stop paying the 2 and 20 compensation scheme. Through education it appears that investors are savvy enough to avoid many of the loads and fees from non-alpha generating mutual funds. Now they have to learn to be savvy about hedge funds.Anonymousnoreply@blogger.com