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Portfolio Tilting Hunt for Positive Alpha Through Style Tilts

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  • Raza, Muhammad Wajid
  • Mohsin, Hassan Mohammad

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.

Suggested Citation

  • Raza, Muhammad Wajid & Mohsin, Hassan Mohammad, 2014. "Portfolio Tilting Hunt for Positive Alpha Through Style Tilts," MPRA Paper 70622, University Library of Munich, Germany, revised 01 Sep 2014.
    • Handle: RePEc:pra:mprapa:70622
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    References listed on IDEAS

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    More about this item

    Keywords

    Portfolio tilting; size; B/M value; Performance; Fama and French 3 factor model; Alpha;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • M00 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - General - - - General

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