The Value of Alpha Forecasts in Portfolio Construction

Fong, K; Lee, AD; Gallagher, DR

The Value of Alpha Forecasts in Portfolio Construction

Fong, K Lee, AD

Gallagher, DR

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Publication Type:: Journal Article
Citation:: Australian Journal of Management, 2009, 34 (1), pp. 97 - 121
Issue Date:: 2009-01-01

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Field	Value	Language
dc.contributor.author	Fong, K	en_US
dc.contributor.author	Lee, AD https://orcid.org/0000-0001-5984-8688	en_US
dc.contributor.author	Gallagher, DR	en_US
dc.date.issued	2009-01-01	en_US
dc.identifier.citation	Australian Journal of Management, 2009, 34 (1), pp. 97 - 121	en_US
dc.identifier.issn	0312-8962	en_US
dc.identifier.uri	http://hdl.handle.net/10453/10220
dc.description.abstract	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. © 2009, SAGE Publications. All rights reserved.	en_US
dc.relation.ispartof	Australian Journal of Management	en_US
dc.relation.isbasedon	10.1177/031289620903400106	en_US
dc.title	The Value of Alpha Forecasts in Portfolio Construction	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	34	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	15 Commerce, Management, Tourism and Services	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	34	en_US

Abstract:

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. © 2009, SAGE Publications. All rights reserved.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/10220