by Abhik Roy | Mar 9, 2025 | Uncategorized
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...
by Abhik Roy | Feb 17, 2025 | Uncategorized
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...
by Abhik Roy | Nov 17, 2024 | Uncategorized
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...
