Nobelist's alpha

The State Pension Fund received an honored guest lecturer as Nobel Prize winner Professor Robert C. Merton visited the office. The subject of the presentation was “Sources of Alpha and Global Diversification”. In academic literature global diversification is often regarded as a free source of alpha. In his presentation Professor Merton emphasized the sources of ”dimensional alpha”. According to Professor Merton these are alphas from identified dimensions of risk with risk premiums, such as size and value. He also highlighted that individual pension funds should define the objective risk free rates in their investment strategies. Among the numerous academic merits Professor Merton is a resident scientist at Dimensional Fund Advisors.

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Robert C. Merton