Alpha Minus Beta: Simple Rule for Smart Beta Strategy
5 Pages Posted: 12 May 2014
Date Written: May 9, 2014
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: Suggested Citation