A Multi-Factor Strategy for Index Alpha Enhancement

Roy Henriksson; Joshua Livnat; Patrick Pfeifer; Margaret Stumpp

doi:10.3905/jii.2019.9.4.067

A Multi-Factor Strategy for Index Alpha Enhancement

Roy Henriksson, Joshua Livnat, Patrick Pfeifer and Margaret Stumpp

The Journal of Index Investing Spring 2019, 9 (4) 67-79; DOI: https://doi.org/10.3905/jii.2019.9.4.067

Roy Henriksson

is the chief investment officer at Quantitative Management Associates LLC (QMA) in Newark, NJ

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Joshua Livnat

is professor emeritus of accounting in the Stern School of Business Administration at New York University in New York, NY, and managing director and head of research at QMA in Newark, NJ

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Patrick Pfeifer

is a principal and senior quantitative analyst at QMA in Newark, NJ

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Margaret Stumpp

is a senior advisor at QMA in Newark, NJ

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A Multi-Factor Strategy for Index Alpha Enhancement