  Betas are possibly the most frequently applied tool to analyze how securities
relate to the market. While in very widespread use, betas only express dynamics
derived from second moment statistics. Financial returns data often deviate
from normal assumptions in the sense that they have significant third and
fourth order moments and contain outliers. This paper targets to introduce a
way to calculate generalized betas that also account for higher order moment
effects, while maintaining the conceptual simplicity and interpretability of
betas. Thereunto, the co-moment analysis projection index (CAPI) is introduced.
When applied as a projection index in the projection pursuit (PP) framework,
generalized betas are obtained as the directions optimizing the CAPI objective.
A version of CAPI based on trimmed means is introduced as well, which is more
stable in the presence of outliers. Simulation results underpin the statistical
properties of all projections and a small, yet highly illustrative example is
presented.
