Beta is a measure of the systematic risk of a portfolio; alternative beta is a modified form of the measure that is applicable to portfolios that are not solely long. Rydex’s absolute return quantitative model had an alternative beta of 11.6, while the benchmark figure for the absolute return funds was 10.6 over the 11.5 year period.
Rydex’s hedged equity fund seeks to provide capital appreciation consistent with the risks and returns of long/short hedge funds, while the absolute return fund seeks returns similar to those produced by the hedge fund universe as a whole.
Both funds employ a variety of techniques including going short, arbitrage and leverage. Currently, the Rydex Absolute Return Strategy has $6.5 million in assets and the Rydex Hedged Equity Fund has $2.9 million.
The week on Risk.net, July 7-13, 2018Receive this by email