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The value of alpha forecasts in portfolio construction
journal contribution
posted on 2009-06-01, 00:00 authored by K Fong, D R Gallagher, Adrian LeeAdrian LeeThis study examines a portfolio strategy which selects stocks using the undisclosed monthly holdings of Australian active fund managers. When considering a large range of strategies incorporating fund portfolio holdings information, the top performing strategies are robust to data snooping and are both statistically significant and economically significant when incorporating transaction costs. These strategies are short term in nature, with statistically significant performance lasting up to nine months. When we account for look-ahead bias in the formation of a strategy, we find statistically significant alpha when following the best performing strategy holding 20 stocks or more in the previous month.
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Journal
Australian journal of managementVolume
34Issue
1Pagination
97 - 121Publisher
SAGE PublicationsLocation
London, Eng.Publisher DOI
ISSN
0312-8962Language
engPublication classification
C1.1 Refereed article in a scholarly journalUsage metrics
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