%0 Journal Article
%A John B. Guerard, Jr
%A Eli Krauklis
%A Manish Kumar
%T Further Analysis of Efficient Portfolios with the USER Data
%D 2012
%R 10.3905/joi.2012.21.1.081
%J The Journal of Investing
%P 81-88
%V 21
%N 1
%X In this study, we show that earnings forecasting and price momentum strategies complement fundamental stock selection strategies such that a composite model can be effectively implemented using both enhanced index-tracking portfolios and traditional mean–variance portfolios. The mean–variance optimization model produces statistically significant asset selection portfolios that dominate less-aggressive enhanced index-tracking portfolio construction models. We show that portfolios that use tracking error in risk optimization techniques produce a superior risk–return trade-off than traditional mean–variance optimization techniques. A portfolio manager should use a data mining corrections test to minimize the probability that the models selected resulted from a near-random process.TOPICS: VAR and use of alternative risk measures of trading risk, big data/machine learning, portfolio construction
%U https://joi.pm-research.com/content/iijinvest/21/1/81.full.pdf