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In this article, we examine the question of efficiently combining multiple sources of alpha. We begin with a comparison of the various methods used by practitioners for constructing portfolios that capture a single alpha signal. These methods are broadly categorized as either:(a) simple factor portfolios,(b) pure factor portfolios, or (c) minimum-volatility factor portfolios. We then derive an equation that shows the optimal alpha weights given the expected returns and covariance matrix of the alpha signals. We provide a discussion on how the required inputs can be estimated in practice, and conclude with an empirical example to illustrate these effects.