Beyond Fama-French: alpha from short-term signals
Präsentation
from 26. September 2024
Members Only
Short-term alpha signals are generally dismissed in traditional asset pricing models, primarily due to market friction concerns. In this webinar, we discuss how investors can obtain net alpha by combining such signals and mitigating transaction costs.
Key Discussion Points:
- Gross and net performance of short-term alpha signals
- Correlation structure of short-term signals and short-term composite performance
- Mitigating high turnover but preserving alpha
- Robustness for out-of-sample periods, long-only applications, implementation lags, and across regions
Please note that the presentation must not be shared.
