Option Informed Stock Picking

2016 ◽  
Author(s):  
Edward Szado ◽  
Hossein B. Kazemi ◽  
Thomas Schneeweis
Keyword(s):  
Stock Picking

Stock Picking and Firm Performance

2010 ◽  
Author(s):  
Anders G. Ekholm ◽  
Benjamin Maury
Keyword(s):  
Firm Performance ◽  
Stock Picking

Do Security Analysts Exhibit Persistent Differences in Stock Picking Ability?

2002 ◽  
Author(s):  
Michael B. B. Mikhail ◽  
Beverly R. Walther ◽  
Richard H. Willis
Keyword(s):  
Security Analysts ◽  
Stock Picking

Senators vs Santa’s Reindeer: 2020 Stock Picking Roundup

2020 ◽  
Author(s):  
William Belmont ◽  
Maxwell Grozovsky ◽  
Bruce Sacerdote ◽  
Ranjan Sehgal ◽  
Ian Van Hoek
Keyword(s):  
Stock Picking

scholarly journals A machine learning algorithm for stock picking built on information

2021 ◽  
pp. 115497
Author(s):  
Emilio Barucci ◽  
Michele Bonollo ◽  
Federico Poli ◽  
Edit Rroji
Keyword(s):  
Machine Learning ◽  
Learning Algorithm ◽  
Machine Learning Algorithm ◽  
Stock Picking

On the ability of New Zealand actively managed funds to generate outperformance in their domestic equity allocations

2018 ◽  
Vol 30 (4) ◽  
pp. 463-481 ◽  
Author(s):  
Bart Frijns ◽  
Ivan Indriawan
Keyword(s):  
New Zealand ◽  
Stock Returns ◽  
Tracking Error ◽  
Tracking Errors ◽  
Content Type ◽  
Portfolio Holdings ◽  
Market Index ◽  
Stock Picking ◽  
Fund Size ◽  
Managed Funds

Purpose This paper aims to assess the ability of New Zealand (NZ) actively managed funds to generate risk-adjusted outperformance using portfolio holdings data. Focusing on domestic equity allocations addresses the benchmark selection issue, particularly for funds with national and international exposures. Design/methodology/approach The authors assess performance using several asset pricing models including the CAPM, three-factor and four-factor models. The authors also assess performance across funds with different characteristics such as fund size, size of local holdings, type of fund provider, past returns and fees. The authors further examine whether funds engage in any stock-picking or market timing by considering the active share and tracking error. Findings The returns on NZ equity holdings of NZ actively managed funds from 2010 to 2017 provide little evidence of risk-adjusted outperformance and stock-picking skill. These exposures yield pre-cost returns that have a nearly perfect correlation with the market index and an insignificant alpha. Funds show little tendency to bet on any of the main characteristics known to predict stock returns, such as size, book-to-market and momentum. In addition, the authors show that the average active shares and tracking errors are low, suggesting that the majority of funds hold NZ equity portfolios that closely mimic the market index. Originality/value Existing studies rely on returns data which aggregate performance across all asset classes with varying exposures. This may lead to benchmark selection issues (particularly for funds with international exposures) which may obscure the fund manager’s true stock-picking skills. Assessment using holdings data would enable suitable performance measurement by researchers and industry analysts.

scholarly journals Do Managers Of Global Equity Funds Outperform Their Respective Style Benchmarks? Evidence From South Africa

2012 ◽  
Vol 11 (3) ◽  
pp. 269
Author(s):  
Heng-Hsing Hsieh ◽  
Kathleen Hodnett ◽  
Paul Van Rensburg
Keyword(s):  
South African ◽  
Economic Benefits ◽  
Exchange Traded Funds ◽  
The South ◽  
Fund Managers ◽  
Study Results ◽  
Significant Difference ◽  
Equity Funds ◽  
Investment Styles ◽  
Stock Picking

The results of our prior research on internationally-domiciled global equity funds suggest that active managers do not provide economic benefits, in addition to their underlying investment style benchmarks. This finding implies that the performances of global equity funds are derived mainly from the broad investment styles followed by the active managers rather than the stock-picking activities of the managers. We replicate our earlier research to investigate the performances of the six well-established global equity funds in the South African unit trust industry. Our results indicate that four out of the six South African fund managers under examination substantially underperform their passively-replicated style benchmarks. Our prior study results indicate that there is no significant difference between the performances of the internationally-domiciled global equity funds and their respective style benchmarks. By contrast, the stock-picking decisions of the South African fund managers are found to destroy value created by their respective style benchmarks in this study. Our findings suggest that investors who wish to follow particular investment styles would be better off by investing in exchange traded funds (ETF) that passively track the performances of their mandated investment styles in the global equity market with minimal costs.

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