RT Journal Article
SR Electronic
T1 Investing in the Beta Space
JF The Journal of Investing
FD Institutional Investor Journals
SP 9
OP 16
DO 10.3905/joi.2016.25.3.009
VO 25
IS 3
A1 Luis E. Pereiro
YR 2016
UL https://pm-research.com/content/25/3/9.abstract
AB The beta space is a powerful way to map the investment strategies of semidiversified investors. Three metrics define the beta space: regular or exogenous betas (x-ßs), linked to macroeconomic cycles; endogenous betas (n-ßs), related to innovation hazards; and a combination of the two—the total betas (t-ßs). The beta space is the first to endow unsystematic risk with measurable entity. It debunks the myth that innovation entails high exogenous betas, and it suggests a simpler definition of style investing: Growth investors tend to favor industries with large t-ßs, whereas value investors do the opposite.TOPICS: Analysis of individual factors/risk premia, portfolio construction, portfolio theory