Tuomo Vuolteenaho
From Wikipedia, the free encyclopedia
Tuomo Vuolteenaho, is a partner at Arrowstreet Capital, L.P., who is best known as the co-author of a paper on 'good and bad betas', with John Campbell.
The "beta" of a stock or other asset is a measure of the risk it represents by the correlated volatility of its return.
An influential model of stock-market behavior, the Capital Asset Pricing Model, stipulates that the expected return on an asset is equal to the risk free rate of interest plus the quantity of risk multiplied by the market's risk premium. In this formula, beta is the quantity of risk.
But the model, in that unrefined form, hasn't worked well. Campbell and Vuolteenaho attempted to improve its correspondence with stock returns by creating a two-beta model. In a tongue-in-cheek reference to dieting trends and cholesterol, the authors call their two sorts of risk "good beta" and "bad beta."
