Where Do Alphas Come From ? : A New Measure of the Value of Active Investment Management ∗

Abstract

The value of active investment management is traditionally measured by alpha, beta, tracking error, and the Sharpe and information ratios. These are essentially static characteristics of the marginal distributions of returns at a single point in time, and do not incorporate dynamic aspects of a manager’s investment process. In this paper, I propose a new… (More)

Topics

11 Figures and Tables

Cite this paper

@inproceedings{Lo2007WhereDA, title={Where Do Alphas Come From ? : A New Measure of the Value of Active Investment Management ∗}, author={Andrew W. Lo and Stephanie Hogue and Rajnish Kamat and Philippe P Luedi}, year={2007} }