Is Alpha Minus Beta A Simple Rule for A Smart Beta Strategy?

Authors

  • Darrol J. Stanley Pepperdine Graziadio Business School
  • Michael D. Kinsman Pepperdine Graziadio Business School
  • Andreas Simon Pepperdine Graziadio Business School

DOI:

https://doi.org/10.33423/jaf.v19i6.2323

Keywords:

Accounting, Finance, Smart Beta, Alpha, Beta, Alpha Minus Beta, Factor Tilt, Market Efficiency

Abstract

Thematic investment portfolios have been of interest to portfolio managers. They can take on a variety of names including Smart Beta. One such model was suggested by Minami and Wakatsaki. They suggested an investment rule of Alpha Minus Beta as a good method to build a factor tilt portfolio which is efficient in an absolute risk-return space. This paper addresses their model by empirically examining market data. The S&P 1500 was segmented into quintiles based on Alpha Minus Beta for a fifteen year period. The suggested model had value as the Coefficient of Variation was favorable compared to the index.

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Published

2019-10-18

How to Cite

Stanley, D. J., Kinsman, M. D., & Simon, A. (2019). Is Alpha Minus Beta A Simple Rule for A Smart Beta Strategy?. Journal of Accounting and Finance, 19(6). https://doi.org/10.33423/jaf.v19i6.2323

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Section

Articles