Comments on: Nonlinear Dynamics in Portfolio Management http://alephblog.com/2008/12/17/nonlinear-dynamics-in-portfolio-management/ Helping Institutions and Ordinary People Invest Better by Focusing on Risk Control Sun, 12 Feb 2012 22:02:53 +0000 hourly 1 http://wordpress.org/?v=3.3.1 By: Walt Frenchhttp://alephblog.com/2008/12/17/nonlinear-dynamics-in-portfolio-management/comment-page-1/#comment-20424 Walt French Thu, 18 Dec 2008 05:05:08 +0000 http://alephblog.com/?p=1265#comment-20424 Might even go so far as to say that strategies such as "quantitative style tilt" portfolios don't have alphas. These characteristics were well-known in 1973 when Barr Rosenberg did the first careful analysis of their returns, and labeled them, "<b>risk</b> factors." Since then some have taken to calling them, "betas." Treating "Value" (typically, Book/Price); momentum; response to earnings announcements; and smaller size as alphas works great for marketing, however. Might even go so far as to say that strategies such as “quantitative style tilt” portfolios don’t have alphas. These characteristics were well-known in 1973 when Barr Rosenberg did the first careful analysis of their returns, and labeled them, “risk factors.” Since then some have taken to calling them, “betas.”

Treating “Value” (typically, Book/Price); momentum; response to earnings announcements; and smaller size as alphas works great for marketing, however.

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