13 April 2023 Financial Analysts Journal Volume 79, Issue 4

Beyond Fama-French Factors: Alpha from Short-Term Signals

  1. David Blitz
  2. Matthias X. Hanauer, CFA
  3. Iman Honarvar
  4. Rob Huisman, CFA
  5. Pim van Vliet
Traditional asset pricing models do not account for short-term alpha signals. This study finds that investors can obtain net alpha by combining such signals and mitigating transaction costs. This alpha is uncorrelated with Fama–French factors.
Read the Complete Article in the Financial Analysts Journal CFA Institute Member Content Beyond Fama-French Factors: Alpha from Short-Term Signals (In Practice) Read Brief CFA Institute Member Content


Short-term alpha signals are generally dismissed in traditional asset pricing models, primarily due to market friction concerns. However, this paper demonstrates that investors can obtain a significant net alpha by applying a combination of signals to a liquid global universe and with advanced buy/sell trading rules that mitigate transaction costs. The composite model consists of short-term reversal, short-term momentum, short-term analyst revisions, short-term risk, and monthly seasonality signals. The resulting alpha is present in out-of-sample and post-publication periods and across regions, translates into long-only applications, is robust to incorporating implementation lags of several days, and is uncorrelated to traditional Fama-French factors.

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