In the previous chapter, we discussed nonlinearity at the individual factor level. In this chapter, we discuss nonlinearity at the alpha level. Alpha usually comprise factors at various economic levels, such as the company, industry, market, etc. Accordingly, we explore nonlinear relationships between individual factors as well as between sets of factors and returns. Asset returns usually do not follow a normal distribution; rather, their distributions tend to be highly skewed, with long and fat tails. Therefore, we also investigate the nonlinear impacts of factors on the distribution of returns so that we can forecast the distribution of alpha.