Hedging on Hedge Funds (postscript on correlations, beta, and “alpha”) by Cliff Asness After my last piece on hedge funds I’ve gotten a lot of questions that often come down to the issue of “beta” versus “correlation” with the market and, more generally, about “alpha.” I thought I’d share a version of my typical response. First, in response to many otherwise good questions that I think confuse correlation with beta, they are not the same. As an example — for a fund that is 10% long stocks and 90% cash, the beta of the fund is 0.1, but the correlation to…
Hedging on Hedge Funds (postscript on correlations, beta, and “alpha”)
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