New answers tagged

1

Smart Beta refers a trend in making well known quantitative strategies more accessible to investors. Simple examples for equities include Value, Momentum, Quality, and Low Volatility. Fixed income might include Carry and Credit. Risk parity is a strategy that incorporates several sources of return that may include some of the smart beta strategies mentioned ...


3

This is a very good question. It can be argued that risk parity is one example of a smart beta strategy. Yet it is important to understand that both are coming from two different directions: risk parity is basically a form of risk management (in the sense of risk-adjustment) because its basic approach lies in diversification - like the alternative methods ...


1

They are not the same as in they are equal, but risk parity can be considered a smart beta strategy. Smart beta is this opaque term that covers anything that can be put into a factor, regressed against returns and adjusted for, but also a host of other non-factor strategies that aim to create a mechanical, non-stock index weighting scheme that is ...


-1

Beta is volatility in relation to a benchmark whereas Standard Deviation is volatility in relation to actual returns vs expected returns


1

let define $$ \text{RP}_t = \sum_{u< t} \frac{dP_u}{P_u}$$ $$ \text{RQ}_t =\sum_{u<t} \frac{dP_u}{P_u}$$ $X$ is a mean reverting process so : $$ dX = \alpha (\mu - X)dt + \sigma dB $$ where $B$ is a brownian motion meanwhile using your relationship you get : $$ X_t = \text{RP}_t - b \text{RQ}_t - a t $$ you use $X$ dynamics with this and you get: ...



Top 50 recent answers are included