Truly Active Management Requires a Commitment to Excellence: Portfolio Construction and Management with FactSet

Bijan Beheshti, John B. Guerard and Chris Mercs

Chapter 7 in Handbook of Applied Investment Research, 2020, pp 87-126 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Financial anomalies have been studied in the U.S. Recent evidence suggests that financial anomalies have diminished in the U.S. and possibly in non-U.S. portfolios. Have the anomalies changed and are they persistent? Have historical and earnings forecasting data been a consistent and highly statistically significant source of excess returns? We test many financial anomalies of the 1980–1990s and report that several models and strategies continue to produce statistically significant excess returns. We test a large set of U.S. and global variables over the past 16 years. We report that many of these fundamental, earnings forecasts, revisions, and breadth and momentum, and cash deployment strategies maintained their statistical significance during the 2003–2018 time period. Moreover, the earnings forecasting model and robust regression estimated that composite model excess returns are greater in non-U.S. and global markets than in the U.S. markets.

Keywords: Applied Investments; Financial Forecasting; Portfolio Theory; Investment Strategies; Fundamental and Economic Anomalies; Behaviour of Investors (search for similar items in EconPapers)
JEL-codes: G1 G11 G17 (search for similar items in EconPapers)
Date: 2020
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