Forecasting Managed Investment Alpha: A Study from the US Large-Cap Equity Market.
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F04274644%3A_____%2F25%3A%230001245" target="_blank" >RIV/04274644:_____/25:#0001245 - isvavai.cz</a>
Result on the web
<a href="https://www.pm-research.com/content/iijinvest/34/4/59.abstract" target="_blank" >https://www.pm-research.com/content/iijinvest/34/4/59.abstract</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3905/joi.2025.1.351" target="_blank" >10.3905/joi.2025.1.351</a>
Alternative languages
Result language
angličtina
Original language name
Forecasting Managed Investment Alpha: A Study from the US Large-Cap Equity Market.
Original language description
This paper deals with the problem of active investments´ excess return (alpha) forecastability and persistence. Surveying a large sample of managed investments of U.S. Large cap equity, we have examined the performance of different quantitative forecasting methods, from a simple naïve forecast to complex vector-autoregression model. A broad set of characteristics of each surveyed instrument was added, along with the most common macroeconomic and financial factors. Using diverse experimental setups, we have evaluated over seven million individual forecasts in total. Our results indicate that simple forecasting methods such as linear regression and moving average provide highest accuracy overall. This implies that alpha performance is persistent with individual managed investments, disproving potential value added of most complex methods and additional factors. Sufficiently long period of existence needs to be considered, however, providing guidance to investors and portfolio managers alike.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
The Journal of Investing
ISSN
2168-8613
e-ISSN
2168-8613
Volume of the periodical
34
Issue of the periodical within the volume
4
Country of publishing house
US - UNITED STATES
Number of pages
26
Pages from-to
59-84
UT code for WoS article
001514082200005
EID of the result in the Scopus database
2-s2.0-105007474642