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The value of alpha forecasts in portfolio construction

journal contribution
posted on 01.06.2009, 00:00 authored by K Fong, D R Gallagher, Adrian LeeAdrian Lee
This 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.

History

Journal

Australian journal of management

Volume

34

Issue

1

Pagination

97 - 121

Publisher

SAGE Publications

Location

London, Eng.

ISSN

0312-8962

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal