Fund Manager Alpha in Tactical Asset Allocation

Woongki Lee
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Woongki Lee: Yonsei University

No bd2pj_v1, SocArXiv from Center for Open Science

Abstract: This study focuses on the stock picking dimension of tactical asset allocation. To reflect the fact that each manager’s opportunity set is constrained by the fund’s style, we construct a style-matching portfolio and use it to define manager alpha as a time-varying measure of stock picking ability. We then distinguish between this full time-varying measure of manager alpha and the portion left unexplained by factor exposures. The former captures ordinary stock picking ability, whereas the latter captures superior stock picking ability. This distinction forms the basis of our empirical analysis of stock picking ability in the Korean fund industry.

Date: 2026-08-10
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Persistent link: https://EconPapers.repec.org/RePEc:osf:socarx:bd2pj_v1

DOI: 10.31235/osf.io/bd2pj_v1

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