Alpha Minus Beta: Simple Rule for Smart Beta Strategy

5 Pages Posted: 12 May 2014

Date Written: May 9, 2014

Abstract

Methods of getting factor premium by constructing a factor portfolio are called factor tilts. In this study, we propose a simple method to build a factor portfolio from alpha factor (score) and market beta. Simple investing rule "alpha minus beta" is a good method to build a factor portfolio which is efficient in absolute risk return space.

Keywords: Factor Tilts, Smart Beta

JEL Classification: C61, G11

Suggested Citation

Minami, Seiji and Wakatsuki, Tetsuroh, Alpha Minus Beta: Simple Rule for Smart Beta Strategy (May 9, 2014). Available at SSRN: https://ssrn.com/abstract=2435729 or http://dx.doi.org/10.2139/ssrn.2435729

Seiji Minami (Contact Author)

Resona Bank ( email )

Fukagawa Gatharia W2
5-65, Kiba 1-Chome
Tokyo, 135-8581
Japan

Tetsuroh Wakatsuki

Resona Bank ( email )

Tokyo
Japan

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