Jhunjhunwala’s alpha

Abstract

Smart beta: the new evolving approach Idea of combining the best elements of the two strategies has appealed to many investors and researchers. It has given rise to algorithm-based trading strategies where money is invested in a portfolio based on certain rules and then rebalancing is done at regular intervals. Rules are designed based on some fundamentals analysis and the intervals are moderate e.g. quarterly. The objective here is to obtain alpha (excess returns over market), lower risk or increase diversification at a cost lower than traditional active management and marginally higher than index investing. Smart beta strategies through cloning active-investors Cloning Investment Strategy of top fund managers and understanding the causes of alpha in terms of academic factors can be one possible way to create smart beta strategy. There can be several approaches to clone the investment strategy of top fund managers.