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Eric Falkenstein » Profile

Eric Falkenstein (http://www.efalken.com) is a consultant and investment adviser for CapRock Advisers LLC, based in Minneapolis. His website, defprob.com (http://www.defprob.com), presents data on nonfinancial corporate debt, and equity indices. His blog, Falkenblog (http://falkenblog.blogspot.com/), is mainly about economics and finance. Prior published articles are kept here (http://www.efalken.com/papers/index.html).



Prior to his current position, Eric was a long/short equity portfolio manager at Deephaven Capital Management and Telluride Capital Management. Prior to that, at Moody's he developed RiskCalcTM, the leading tool for estimating private firm default risk. At KeyCorp bank, he was Head of Capital Allocations and Quantitative Research, and implemented various capital allocation processes around the bank. He has a PhD in economics from Northwestern University. His recent book, Finding Alpha, was published by Wiley Finance.



Visit his blog: Falkenblog (http://falkenblog.blogspot.com/)

Eric Falkenstein's Book

Finding Alpha This book argues that in general, risk is unrelated to returns. At the very low end of the risk spectrum we see a little risk premium, at the very high end a negative risk premium. I survey over 20 asset classes documenting this. I then present a theory as to why this is an equilibrium. The fact that risk is so important theoretically, and so unimportant, empirically, leads to a lot of deception, which is discussed. Practical applications relating to focusing on low volatility, or low beta investing, are presented.
Visit http://www.amazon.com/dp/0470445904?tag=defrpro... »
Articles by Eric Falkenstein »
Snapshot
  • Portfolio manager
  • Trading frequency: Infrequent
Interests:
  • Stocks - long
  • Stocks - short