Alpha Minus Beta : Simple Rule for Smart Beta Strategy

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

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Year of publication:	2014
Authors:	Minami, Seiji
Other Persons:	Wakatsuki, Tetsuroh (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Betafaktor \| Beta risk \| Portfolio-Management \| Portfolio selection \| CAPM \| Theorie \| Theory

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