Improving Equity Fund Alpha Estimates

Supplementing traditional alpha estimate models with a second size factor significantly improves statistical fit, and yields new fund rankings. This is important because stock returns are not linear in size, which is assumed by traditional models, and because active equity funds’ holdings are not cap-weighted. The proposed technique is easy to apply.

During this webinar, Professor Stewart will dive in to the key findings from his latest research Improving Equity Fund Alpha Estimates with a Second Size Factor.

This webinar will be broadcast live from 2:00 to 3:00 Eastern time on Wednesday, September 13, 2023.