QWAFAFEW: Terry Marsh, CEO, Quantal talks about Segmentation, Liquidity, and Risk Returns Premiums.
The talk is to be based on a forthcoming JPM article Smart Betas, Alpha Signals and Factor Model Alignment with Paul Pfleiderer. In the paper the authors consider the case for augmenting risk models to be used in portfolio construction to reflect information embedded in the portfolio manager’s alphas. “Smart beta” models and cases where alpha signals are partly factor-driven but incorrectly perceived to be stock-specific, are considered. Follow-up research on extensions of the segmentation model calibrated in the article will be discussed.