Читать книгу Behavioral Portfolio Management - C. Thomas Howard - Страница 23

Based on Graph 3 in Cohen, Polk, and Silli (2010). The graph shows, over the subsequent quarter, the average six factor adjusted annual alpha for the largest relative overweighted stock in a mutual fund portfolio, the next most overweighted, and so forth. Based on all active US equity mutual funds from 1991 to 2005.

Figure 1.1 reveals that a fund’s best idea, as measured by the largest relative portfolio weight, generates an average six factor, annualized after-the-fact alpha of 6%. What is more, the next best idea stocks also generate positive alphas. This is evidence that it is possible to build a superior stock portfolio. CPS did not explore the source of these returns, but it is reasonable to conjecture that much of the return is the result of fund BDIs (buy-side analysts and portfolio managers) harnessing behavioral factors. Probably of less importance is the investment team’s ability to build a superior information mosaic for the stocks in which they invest. ^[10]