Mutual Fund Separation and the Fama, French, Carhart Factors
Saxena (2012) studies value investing in equities using a linear factor model. The abstract mentions alpha but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“For test portfolios, the alphas drop from a significant 15.6% per year for the FFC factors to an insignificant 1.08% per year for the the mutual-fund-separation factor.”
AssetEquitiessingle stocks, funds
StrategyValue investingsize premium
TechniqueLinear factor model
GeographyEurope
Also stated: Alpha, Long-short, Fundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodValue investing by year
FamilyValue investing106Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 896
AssetEquities89
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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