RT Journal Article SR Electronic T1 Contextual Fundamentals, Models, and Active Management JF The Journal of Portfolio Management FD Institutional Investor Journals SP 23 OP 36 DO 10.3905/jpm.2005.599493 VO 32 IS 1 A1 Eric H. Sorensen A1 Ronald Hua A1 Edward Qian YR 2005 UL https://pm-research.com/content/32/1/23.abstract AB Application of a multifactor alpha model across a diverse range of stocks is a popular way to forecast security expected returns, but it is a one-size-fits-all approach. An alternative alpha-modeling approach represents a parsimonious way to model securities individually in order to capture idiosyncratic return behavior in different security contexts. The investment objective is information ratio maximization through optimal alpha factor weights. This technique demonstrates the importance of factor categories such as cheapness, quality, and sentiment that vary significantly across various security contexts. Practitioners can see that the approach improves the ex post information ratio over a one-size-fits-all approach.