Alpha Research


Multi-Asset Class

Global Equities (Countries)

Global Bonds


Commodities Alpha

Hedge Fund Selection Alpha

Flows/Risk Appetite/Style Rotation

I seperate this section because it has particular appeal to me.




Risk Appetite



Style Rotation


Mutual Fund Flows

Ken Froot has done a lot of style rotation work. I'm skeptical about how it translates into GTAA, based on a Summer's worth of work (excluding the strongest defined styles—ie. value/momentum in equities, carry in FX which I would like to test seperately in the future.)

Equity Alpha

The big guy in this field back in the day was Richard Sloan, who now works at BGI. Just by the number of references below, one begins to understand why BGI has a pretty good hold on Equity Market Neutral. A useful data source for introductory study is Ken French's website. One should note that some variants of value (industry neutral value, etc.) haven't underperformed as dramatically as pure value which by definition loads up on industries like banks which have lower P/E ratios in general.

Stock Selection Alpha

EM Equities



Industry Rotation

Optimization/Transaction Cost Alpha

Can portfolio construction a la Markowitz add alpha? I'm skeptical, given research at JP Morgan that the value of alpha is greater than the value of intuitive tilts. Still, important issues in this field include optimization with transaction costs (Hayne Leland for continuous time, others for discrete), Bayesian shrinkage (Jorian estimators) in returns, Markowitz optimization vs. full-scale or sampling based optimizations.


High Frequency Volatility


Hedge Fund Replication

Unless otherwise stated, the content of this page is licensed under Creative Commons Attribution-ShareAlike 3.0 License