Instructional Video: Ang, Chapter 10: Alpha (and the Low-Risk Anomaly)

Andrew Ang, Asset Management: A Systematic Approach to Factor Investing, Chapter 10: Alpha is a 43 minute instructional video analyzing the following concepts:

* Describe and evaluate the low-risk anomaly of asset returns.
* Define and calculate alpha, tracking error, the information ratio, and the Sharpe ratio.
* Explain the impact of benchmark choice on alpha, and describe characteristics of an effective benchmark to measure alpha.
* Describe Grinold’s fundamental law of active management, including its assumptions and limitations, and calculate the information ratio using this law.
* Apply a factor regression to construct a benchmark with multiple factors, measure a portfolio’s sensitivity to those factors and measure alpha against that benchmark.
* Explain how to measure time-varying factor exposures and their use in style analysis.
* Describe issues that arise when measuring alphas for nonlinear strategies.
* Compare the volatility anomaly and beta anomaly, and analyze evidence of each anomaly.
* Describe potential explanations for the risk anomaly.

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