How to Generate Alpha in a Live Traded Portfolio

Roland Martin: In a recent paper, you looked at managers with this framework and said like an aggregate, what kind of alpha is being generated. It would seem it would be much more difficult for managers to generate alpha. And I was wondering if you could talk about that a little bit. Martin: We're advocates of investing in common risk factors. So we know there are other risk factors out there. But let's say this fund intentionally exposed itself to a trading strategy that significantly overweighted small value stocks That historically over a long period of time was associated with a return premium. The cap M model that showed up as a statistically significant alpha became close to zero or indistinguishable from zero.