Study Results from New York University Provide New Insights into Data Security
Information Technology Newsweekly
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"In this paper we show that selecting mutual funds using alpha computed from a fund's holdings and security betas produces better future alphas than selecting funds using alpha computed from a time-series regression on fund returns. This is true whether future alphas are computed using holding and security betas or a time-series regression on fund returns," scientists writing in the Journal of Financial and Quantitative Analysis report.
"Furthermore, we show that the more frequently the holdings data are available, the greater the benefit. This has major implications for the Securities and Exchange Commission's recent ruling on the frequency of holdings disclosure and the information plan sponsors should collect from portfolio managers," wrote E.J. Elton and colleagues, New York University.
The researchers concluded: "We also explore the effect of conditioning betas on macroeconomic variables as suggested by Ferson and Schadt (1996) to identify superior-performing mutual funds as well as the alternative way of employing holdings data proposed by Grinblatt and Titman (1993)."
Elton and colleagues published their study in the Journal of Financial and Quantitative Analysis (Holdings Data, Security Returns, and the Selection of Superior Mutual Funds. Journal of Financial and Quantitative Analysis, 2011;46(2):341-367).
Additional information can be obtained by contacting E.J. Elton, New York University, Stern School Business, 44 W 4th St., Ste. 9-190, New York City, NY 10012, United States.
The publisher of the Journal of Financial and Quantitative Analysis can be contacted at: University Washington SCH Business & Administration, C, O Office Manager, 115 Lewis Hall, Box 353200, Seattle, WA 98195-3200, USA.
This article was prepared by Information Technology Newsweekly editors from staff and other reports. Copyright 2011, Information Technology Newsweekly via VerticalNews.com.