The value of alpha forecasts in portfolio construction

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Show simple item record Fong, Kingsley en_US Gallagher, David en_US Lee, Adrian en_US
dc.contributor.editor en_US 2010-05-28T09:54:50Z 2010-05-28T09:54:50Z 2009 en_US
dc.identifier 2008003983 en_US
dc.identifier.citation Fong Kingsley, Gallagher David, and Lee Adrian 2009, 'The value of alpha forecasts in portfolio construction', University of NSW, vol. 34, no. 1, pp. 97-121. en_US
dc.identifier.issn 0312-8962 en_US
dc.identifier.other C1UNSUBMIT en_US
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. en_US
dc.language en_US
dc.publisher University of NSW en_US
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.isbasedon en_US
dc.title The value of alpha forecasts in portfolio construction en_US
dc.parent Australian Journal of Management en_US
dc.journal.volume 34 en_US
dc.journal.number 1 en_US
dc.publocation Sydney, Australia en_US
dc.identifier.startpage 97 en_US
dc.identifier.endpage 121 en_US BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 150200 en_US
dc.personcode 0000049665 en_US
dc.personcode 107326 en_US
dc.personcode 106914 en_US
dc.percentage 100 en_US Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US en_US
dc.location.activity en_US
dc.staffid en_US
dc.staffid 106914 en_US

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