Economics at your fingertips  

Dead alphas as risk factors

Zura Kakushadze () and Willie Yu ()
Additional contact information
Zura Kakushadze: Quantigic® Solutions LLC
Willie Yu: Duke-NUS Medical School

Journal of Asset Management, 2018, vol. 19, issue 2, 110-115

Abstract: Abstract We give an explicit algorithm and source code for extracting equity risk factors from dead (a.k.a. “flatlined” or “hockey-stick”) alphas and using them to improve performance characteristics of good (tradable) alphas. In a nutshell, we use dead alphas to extract directions in the space of stock returns along which there is no money to be made (and/or those bets are too volatile). In practice, the number of dead alphas can be large compared with the number of underlying stocks and care is required in identifying the aforesaid directions.

Keywords: Equities; Alphas; Expected return; Portfolio risk; Source code; Position data (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla ().

Page updated 2019-11-06
Handle: RePEc:pal:assmgt:v:19:y:2018:i:2:d:10.1057_s41260-017-0064-5