Talking about the "alpha income" and "beta income" in the field of cryptocurrency

InjectiveLabs 2021-06-18 22:35:48 阅读数:437

talking alpha income beta income


Alpha revenue 、 Beta earnings are two concepts that you often hear in the process of investment , It's widely used to evaluate stocks , Fund or portfolio performance . Alpha is used to measure the return on investment compared to the market index , Beta measures the volatility of investment , Show the relative risk .

The two names originally came from William, the Nobel Laureate in economics . Sharp is 1964 A paper published in 《 Portfolio theory and capital market 》, Investors in the market are faced with systemic risk and non systemic risk . The systematic risk can be obtained from Capital asset pricing model (CAPM) The stock market line in China :


Defined , β It's an index that measures the level of systemic risk taken by a security or an effective portfolio . So he split the return on financial assets into two parts : The part that fluctuates with the market is called beta earnings , The part that doesn't fluctuate with the market is called alpha earnings . Corresponding to the formula is :

Asset income = Alpha revenue + Beta revenue + Residual benefits

The residual income is a random variable , The average value is 0, You can skip .

Understand alpha and beta

First, we need to define a market benchmark , Corresponding to this market benchmark, every financial asset will have a beta coefficient , To show the volatility of this financial asset relative to the market benchmark . For example, the beta coefficient is 1, It means that the volatility of financial assets is consistent with that of market benchmark , The market benchmark goes up 10%, The financial assets will also rise 10%; Corresponding , The earnings generated by the fluctuation of the underlying performance benchmark are called beta earnings . For example, as the performance benchmark rises 10%, The target has gone up 11%, this 11% It's beta revenue . Beta income can be regarded as a relatively passive investment income , That is to take market risk ( The performance benchmark fell 10% The target falls 11%) The benefits ( The performance benchmark goes up 10% The price of the target goes up 11%). This kind of income generally does not need to take the initiative to go through the stock selection 、 Choose the right time to get , But with performance benchmarks ( For example, the market ) Ups and downs get . Most of the passive index funds we've heard about are like this .

So what is alpha revenue . According to the above formula, we know :

Alpha revenue = Asset income - Beta revenue

What does that mean , Let's give you an example . For example, a fund , Tracking the performance benchmark up 10%, Its β by 1.1, Then beta income is 11%, But the fund has achieved... Through a number of strategies 20% The rate of return of , The extra one 9% The excess return of is alpha return . What we need to pay attention to is this part of alpha revenue , It has nothing to do with market volatility ( The fund income generated by the rising performance benchmark is beta income ), This part of the income needs to be managed by the fund manager 、 Timing 、 Stock selection and other means to obtain excess returns , The vast majority of actively controlled funds in the market pursue alpha earnings .

For better comparison and explanation , Let's make a metaphor . For example, the speed when we take the train , It's actually the speed of the train , Plus our own speed relative to the train . The train itself goes very fast , We'll be quick on the train, of course , When the train slows down , We're going to slow down as well , This is beta revenue . But as the train goes forward , You can also run forward in the train by yourself , It also increases its own speed , This is alpha revenue .

In investment , People generally think that alpha is rare , Beta is better to get . Because the market itself is fluctuating , And for investment , By adjusting the proportion of positions ( Different portfolios ) You can easily change the beta coefficient , That is to get the income from market fluctuation . But to get the alpha benefits , We need to choose the right time 、 Stock selection and other operations to complete , It will test the ability of investors .

Alpha and beta in cryptocurrency

The traditional financial field has developed for almost a hundred years , Alpha and beta earnings have been well studied . Cryptocurrency as an emerging asset has just developed for ten years , There are many immature places . If we say the index of the stock market ( For example, the Shanghai Composite Index ) It can be used as a measure of beta earnings , So far, only BTC Can act as a similar index , And the reason is that :

  • BTC The ratio of the total market value of cryptocurrency is too large , In a bear market, it even reaches 70% above ;
  • Other cryptocurrencies and BTC The correlation of prices is too high ;
  • Although some institutions have launched some index products spontaneously , But the degree of market recognition is not high ;
  • A large number of investors take BTC For pricing standard .

This can make BTC Its own volatility becomes the de facto market benchmark , So just hold BTC You can get beta revenue . If you look for alpha revenue , You need to get more than you hold in a bull market BTC Revenue . 

Alpha revenue comes from alpha strategy , Traditional fundamental analysis strategy , It's about currency selection , Rely on selected sectors and portfolio to surpass the market , This method requires investors to have high research and analysis ability , It is widely used in hedge funds in foreign markets . In terms of specific strategies , It mainly covers : 

1、 many / Empty strategy , That is to buy part of the assets into currency , Some assets are short selling . Hedge fund managers can adjust the proportion of long and short assets , Freely adjust the market risk faced by the Fund , It is often to avoid the market risk that it cannot grasp , Minimize risk , Get more stable income .

2、 Arbitrage strategy , It is to buy two kinds of related assets at the same time 、 Sell the reverse trade to get the spread , Some risk factors are eliminated in the transaction , The remaining risk factor is the source of the fund's excess return .

3、 Event driven strategy , It's about investing in projects that are about to take place , For example, there is a spin off 、 Acquisition 、 Merge 、 The main network is online 、 Version update 、 Hackers or companies that buy back certificates . 

4、 Momentum trading strategy , Portfolio management through the strongest securities in the market , At a certain time , Keep selling the least profitable token , And then buy the most profitable securities in the market , That is to say, the strong are always strong .


In terms of the amount of money , The total market value of the whole cryptocurrency market is close to 2 Trillions of dollars , It's very small compared to the traditional financial market . On the other hand , The coin ring has its own unique characteristics : One 、 Affected by the policy , Two 、 The market is full of irrational retail investors , These two characteristics make it much easier to find alpha gains in the cryptocurrency market , That's why there is a myth that every bull market is hundreds of times higher .