Forecasting Managed Investment Alpha: A Study from the US Large-Cap Equity Market.

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Forecasting Managed Investment Alpha: A Study from the US Large-Cap Equity Market.

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Forecasting Managed Investment Alpha: A Study from the US Large-Cap Equity Market.

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2025

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

The Journal of Investing

ISSN

2168-8613

e-ISSN

2168-8613

Svazek periodika

34

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

26

Strana od-do

59-84

Kód UT WoS článku

001514082200005

EID výsledku v databázi Scopus

2-s2.0-105007474642