{"id":"https://openalex.org/W3122800917","doi":"https://doi.org/10.3905/jpm.2012.38.3.056","title":"Demystifying Equity Risk\u2013Based Strategies: A Simple Alpha plus Beta Description","display_name":"Demystifying Equity Risk\u2013Based Strategies: A Simple Alpha plus Beta Description","publication_year":2012,"publication_date":"2012-04-30","ids":{"openalex":"https://openalex.org/W3122800917","doi":"https://doi.org/10.3905/jpm.2012.38.3.056","mag":"3122800917"},"language":"en","primary_location":{"id":"doi:10.3905/jpm.2012.38.3.056","doi":"https://doi.org/10.3905/jpm.2012.38.3.056","is_oa":false,"landing_page_url":"https://doi.org/10.3905/jpm.2012.38.3.056","pdf_url":null,"source":{"id":"https://openalex.org/S143806524","display_name":"The Journal of Portfolio Management","issn_l":"0095-4918","issn":["0095-4918","2168-8656"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Portfolio Management","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5004802018","display_name":"Raul Leote de Carvalho","orcid":"https://orcid.org/0000-0001-9204-3662","observed_orcids":["https://orcid.org/0000-0001-9204-3662"]},"institutions":[{"id":"https://openalex.org/I95549939","display_name":"BNP Paribas (France)","ror":"https://ror.org/02v616z87","country_code":"FR","type":"company","lineage":["https://openalex.org/I95549939"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Raul Leote de Carvalho","raw_affiliation_strings":["is head of quantitative strategies and research in financial engineering at BNP Paribas Investment Partners in Paris, France. raul.leotedecarvalho@bnpparibas.com"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"is head of quantitative strategies and research in financial engineering at BNP Paribas Investment Partners in Paris, France. raul.leotedecarvalho@bnpparibas.com","institution_ids":["https://openalex.org/I95549939"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5101870010","display_name":"Xiao Long Lu","orcid":"https://orcid.org/0000-0002-9426-0983","observed_orcids":["https://orcid.org/0000-0002-9426-0983"]},"institutions":[{"id":"https://openalex.org/I95549939","display_name":"BNP Paribas (France)","ror":"https://ror.org/02v616z87","country_code":"FR","type":"company","lineage":["https://openalex.org/I95549939"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Xiao Lu","raw_affiliation_strings":["is a quantitative analyst in financial engineering at BNP Paribas Investment Partners in Paris, France. xiao.lu@bnpparibas.com"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"is a quantitative analyst in financial engineering at BNP Paribas Investment Partners in Paris, France. xiao.lu@bnpparibas.com","institution_ids":["https://openalex.org/I95549939"]}]},{"author_position":"last","author":{"id":null,"display_name":"Pierre Moulin","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I95549939","display_name":"BNP Paribas (France)","ror":"https://ror.org/02v616z87","country_code":"FR","type":"company","lineage":["https://openalex.org/I95549939"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Pierre Moulin","raw_affiliation_strings":["is head of financial engineering at BNP Paribas Investment Partners in Paris, France. pierre.moulin@bnpparibas.com"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"is head of financial engineering at BNP Paribas Investment Partners in Paris, France. pierre.moulin@bnpparibas.com","institution_ids":["https://openalex.org/I95549939"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I95549939"],"apc_list":null,"apc_paid":null,"fwci":19.2796,"has_fulltext":false,"cited_by_count":107,"citation_normalized_percentile":{"value":0.99138029,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":87,"max":100},"biblio":{"volume":"38","issue":"3","first_page":"56","last_page":"70"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.6729000210762024,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.6729000210762024,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.23520000278949738,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.058400001376867294,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/risk-based-approach","display_name":"risk-based approach","score":0.6499999761581421},{"id":"https://openalex.org/keywords/equal-risk-contribution","display_name":"equal risk contribution","score":0.9959999918937683},{"id":"https://openalex.org/keywords/minimum-variance","display_name":"minimum variance","score":0.7680000066757202},{"id":"https://openalex.org/keywords/equally-weighted-portfolio","display_name":"equally weighted portfolio","score":0.8309999704360962},{"id":"https://openalex.org/keywords/low-beta","display_name":"low beta","score":0.5289999842643738},{"id":"https://openalex.org/keywords/small-cap-stocks","display_name":"small-cap stocks","score":0.9480000138282776},{"id":"https://openalex.org/keywords/value-stocks","display_name":"value stocks","score":0.722000002861023},{"id":"https://openalex.org/keywords/factor-exposure","display_name":"factor exposure","score":0.7379999756813049},{"id":"https://openalex.org/keywords/tracking-error","display_name":"tracking error","score":0.7789999842643738},{"id":"https://openalex.org/keywords/portfolio-turnover","display_name":"portfolio turnover","score":0.828000009059906},{"id":"https://openalex.org/keywords/risk-premium","display_name":"risk premium","score":0.5600000023841858}],"concepts":[{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.7556072473526001},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7027837038040161},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6412014365196228},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6042191982269287},{"id":"https://openalex.org/C183356978","wikidata":"https://www.wikidata.org/wiki/Q1779213","display_name":"Tracking error","level":3,"score":0.5451177954673767},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.5380799770355225},{"id":"https://openalex.org/C73858035","wikidata":"https://www.wikidata.org/wiki/Q1164550","display_name":"Market risk","level":2,"score":0.5000905990600586},{"id":"https://openalex.org/C2776174256","wikidata":"https://www.wikidata.org/wiki/Q830842","display_name":"BETA (programming language)","level":2,"score":0.4979720115661621},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4788808226585388},{"id":"https://openalex.org/C2777284652","wikidata":"https://www.wikidata.org/wiki/Q7940000","display_name":"Volatility risk","level":5,"score":0.4415871798992157},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.4241413176059723},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.33500105142593384},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.3228203058242798},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24343249201774597},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.21813815832138062},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.1789301037788391},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.0898820161819458},{"id":"https://openalex.org/C162853370","wikidata":"https://www.wikidata.org/wiki/Q39809","display_name":"Marketing","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C2775924081","wikidata":"https://www.wikidata.org/wiki/Q55608371","display_name":"Control (management)","level":2,"score":0.0},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.3905/jpm.2012.38.3.056","doi":"https://doi.org/10.3905/jpm.2012.38.3.056","is_oa":false,"landing_page_url":"https://doi.org/10.3905/jpm.2012.38.3.056","pdf_url":null,"source":{"id":"https://openalex.org/S143806524","display_name":"The Journal of Portfolio Management","issn_l":"0095-4918","issn":["0095-4918","2168-8656"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Portfolio Management","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":21,"referenced_works":["https://openalex.org/W1408563236","https://openalex.org/W1794348228","https://openalex.org/W1970205847","https://openalex.org/W1989576509","https://openalex.org/W2011747727","https://openalex.org/W2061967889","https://openalex.org/W2077171408","https://openalex.org/W2113208252","https://openalex.org/W2125520394","https://openalex.org/W2128039834","https://openalex.org/W2131055507","https://openalex.org/W2157903047","https://openalex.org/W2159829736","https://openalex.org/W2165408259","https://openalex.org/W2165519258","https://openalex.org/W2166215547","https://openalex.org/W2334598263","https://openalex.org/W2999129308","https://openalex.org/W3122942322","https://openalex.org/W3124443460","https://openalex.org/W3125366755"],"related_works":["https://openalex.org/W2405522437","https://openalex.org/W2399628808","https://openalex.org/W7095678483","https://openalex.org/W2758576672","https://openalex.org/W1538588608","https://openalex.org/W1841439614","https://openalex.org/W7100989626","https://openalex.org/W4251474567","https://openalex.org/W7096618311","https://openalex.org/W7083308143"],"abstract_inverted_index":{"In":[0],"this":[1],"article,":[2],"de":[3],"Carvalho,":[4],"Lu,":[5],"and":[6,20,36,48,65,80,96,103,116,128,134,146,169,174,179],"Moulin":[7],"consider":[8],"five":[9,24],"risk-based":[10],"strategies:":[11],"equally":[12],"weighted,":[13],"equal-risk":[14,16,97],"budget,":[15],"contribution,":[17],"minimum":[18,144],"variance,":[19],"maximum":[21,147],"diversification.":[22],"All":[23,73],"strategies":[25,64,149,158],"can":[26],"be":[27],"well":[28],"described":[29],"by":[30],"exposure":[31,152],"to":[32,37,59,70,91,101,104,139,153],"the":[33,60,75,85,140,160,166],"market-cap":[34,86,141],"index":[35],"four":[38],"simple":[39,68],"factors:":[40],"low":[41,45,132,135],"beta,":[42],"small":[43],"cap,":[44],"residual":[46],"volatility,":[47],"value.":[49],"This":[50],"finding,":[51],"in":[52,124,164],"their":[53,117],"view,":[54],"is":[55,89],"a":[56,67,110,131],"major":[57],"contribution":[58,98],"understanding":[61],"of":[62,113,181,185,189],"such":[63],"provides":[66],"framework":[69],"compare":[71],"them.":[72],"except":[74],"equal-weighted":[76],"strategy":[77],"are":[78,99,159],"defensive":[79],"have":[81,109,129,151,170],"lower":[82],"volatility":[83],"than":[84],"index.":[87,142],"Equal-weighted":[88],"exposed":[90,100],"small-cap":[92,102],"stocks.":[93,106,155],"Equal-risk":[94],"budget":[95],"low-beta":[105,154],"These":[107,156],"three":[108],"high":[111,171],"correlation":[112],"excess":[114],"returns,":[115],"portfolios":[118,122],"largely":[119],"overlap.":[120],"Their":[121],"invest":[123,163],"all":[125],"stocks":[126],"available":[127],"both":[130],"turnover":[133],"tracking":[136,172],"error":[137,173],"relative":[138],"The":[143],"variance":[145],"diversification":[148],"primarily":[150],"two":[157],"most":[161],"defensive,":[162],"much":[165],"same":[167],"stocks,":[168],"turnover.":[175],"TOPICS:Volatility":[176],"measures,":[177],"VAR":[178],"use":[180],"alternative":[182],"risk":[183],"measures":[184],"trading":[186],"risk,":[187],"analysis":[188],"individual":[190],"factors/risk":[191],"premia":[192]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":3},{"year":2023,"cited_by_count":6},{"year":2022,"cited_by_count":9},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":12},{"year":2018,"cited_by_count":6},{"year":2017,"cited_by_count":15},{"year":2016,"cited_by_count":10},{"year":2015,"cited_by_count":15},{"year":2014,"cited_by_count":11},{"year":2013,"cited_by_count":8},{"year":2012,"cited_by_count":6}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2021-02-01T00:00:00"}