EDHEC-Risk Institute October 2016

Table of Contents

Executive Summary.................................................................................................. 5

Introduction...............................................................................................................15

1. Literature and Practice Reviews........................................................................21

2. From Historical Betas (and Alphas) to Fundamental Betas (and Alphas)....45

3. Applications of Fundamental Beta..................................................................59

4. Conclusion..............................................................................................................75

Appendix.....................................................................................................................79

References..................................................................................................................83

About Caceis............................................................................................................89

About EDHEC-Risk Institute.................................................................................91

EDHEC-Risk Institute Publications and Position Papers (2013-2016).........95

Printed in France, October 2016. Copyright EDHEC 2016. The opinions expressed in this study are those of the authors and do not necessarily reflect those of EDHEC Business School.

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