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...

Improving Smart Beta Attribution Analysis II

Improving Smart Beta Attribution Analysis II Differentiating between factor exposures versus factor returns December 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Attribution analysis is important for understanding the risk and return drivers of a...

Improving Smart Beta Attribution Analysis

Improving Smart Beta Attribution Analysis Differentiating between factor exposures versus factor returns December 2024. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Return contribution analysis helps understand the different return drivers and measure...