Meeting Archive:
Finding Alpha

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Meeting Description:

Finding an alpha factor that fits your portfolio management process involves understanding the returns, correlation and predictive power of factors through time, across different subgroups of securities. Learn more about the workflow of generating a stock scoring model that will be used in backtesting and production environments. Most importantly, find out how to produce alpha and create performance-enhanced portfolios with stop loss and lock gain rules.

Next, move into a discussion of market risk and creating your own custom risk models. We merge our alpha factor with common market risk factors such as beta, size, valuation and sectors, to create a risk model. This risk model will measure how well our alpha factor has been working and determine if the portfolio has effectively incorporated the potential alpha.

 

Details
Date: Wed, Nov 4, 2009
Time: 02:00 PM EST
Duration: 1 hour
Host(s): Dorie Kim
Downloadable Files

Recordings

•  Finding Alpha
 Presenter Information
Dorie J. Kim
Speaker Photo

Dorie J. Kim is a Quantitative Analytics Specialist at FactSet. She is responsible for providing factor modeling, portfolio backtesting and optimization tools as well as risk management solutions to a diversified client base in the West Coast. Prior to joining the group in 2008, she worked as a FactSet consultant supporting more than 20 buy-side firms in the Bay Area and New Mexico. She holds a BS degree in electrical engineering from the University of California, San Diego.