  We give an explicit algorithm and source code for extracting expected returns
for stocks from expected returns for alphas. Our algorithm altogether bypasses
combining alphas with weights into "alpha combos". Simply put, we have
developed a new method for trading alphas which does not involve combining
them. This yields substantial cost savings as alpha combos cost hedge funds
around 3% of the P&L, while alphas themselves cost around 10%. Also, the extra
layer of alpha combos, which our new method avoids, adds noise and
suboptimality. We also arrive at our algorithm independently by explicitly
constructing alpha risk models based on position data.
