Alpha Signals, Smart Beta, and Factor Model Alignment


In Alpha Signals, Smart Beta, and Factor Model Alignment, Terry Marsh of the University of California, Berkeley and Quantal, and Paul Pfleiderer of Stanford University investigate smart beta and risk model forecasting. In this discussion with Marsh, he discusses the article and offers additional perspective on why he and his co-author decided to explore the drivers of return and the corresponding risk factors.

http://www.iijournals.com/doi/abs/10.3905/pa.2016.4.2.172


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