Portfolio Tilting Hunt for Positive Alpha Through Style Tilts

Muhammad Raza () and Hasan Mohsin

MPRA Paper from University Library of Munich, Germany

Abstract: A long discussion in literature exist to answer the question how a fund manager can generate extra returns? In order to answer the question this study is concerned with two aspects of this problem. First it discusses the portfolio construction process from separation theorem to modern style tilts. And in second step it provide empirical evidence for superior performance of style tilts. First of all active and passive style of management are compared. Data on returns is taken from KSE for five years and two sets of style based portfolios are constructed. Strong evidence is found in favor of active style of management. Actively managed funds are used as proxy for tilted portfolios. Data of Net asset value is taken from MUFAP. Tilted portfolios are tested for Size and value tilts. This study confirms higher performance of portfolio with style tilts.

Keywords: Portfolio tilting; size; B/M value; Performance; Fama and French 3 factor model; Alpha (search for similar items in EconPapers)
JEL-codes: G11 G12 M00 (search for similar items in EconPapers)
Date: 2014-05-01, Revised 2014-09-01
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Published in VFAST Transactions on Education and Social Sciences 02.06(2015): pp. 25-41

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:70622

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