Factor Exposure Analysis 111: What is Alpha?

Factor Exposure Analysis 111: What is Alpha? Comparing different alpha calculation methodologies March 2025. Reading Time: 10 Minutes. Author: Abhik Roy, CFA. SUMMARY Jensen’s alpha methodology is popular, but has several drawbacks There is no perfect methodology, but...

Is it Profitable to Invest in Profitable Firms?

Is it Profitable to Invest in Profitable Firms? Comparing stocks with positive versus negative earnings. February 2025. Reading Time: 10 Minutes. Author: Abhik Roy, CFA. SUMMARY The profitability of U.S. stocks has declined over the last two decades The number of...

Convexity as a Factor

Convexity as a Factor Finally, a Free Lunch? November 2024. Reading Time: 10 Minutes. Author: Abhik Roy, CFA. SUMMARY Convex stocks provided tail risk protection over the last 20 years However, a long-short convexity index would have underperformed the stock market...