Finding Alpha: The Search for Alpha When Risk and Return Break Down

Finding Alpha: The Search for Alpha When Risk and Return Break Down

Author(s): Eric Falkenstein

Print ISBN: 9780470445907

Online ISBN: 9781118266939

DOI: 10.1002/9781118266939

Author Biography


About the Author

Eric Falkenstein, PhD, developed the RiskCalcTM, the world's leading scoring tool for evaluating private firm default risk, while at Moody's Risk Management Services. The celebrated tool is used by banks worldwide, as well as by regulators and Moody's own CDO group. He was head of capital allocations and quantitative modeling at KeyCorp prior to joining Moody's and later was with Deephaven Capital Management where he developed and managed a long/short equity strategy. Between 1996 and 2002, Falkenstein formed his own investment company, the Falken Fund, which had returns of 16.0% versus 3.8% for the S&P500. His hedge fund activities are ongoing and, by law, proprietary. He is a consultant and a member of CapRock Advisors LLC, a hedge fund advisor.

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