Webinar "Holding Horizon: A New Measure of Active Investment Management"

On Wednesday 17th June 2020, Fabio Moneta (Associate Professor of Finance at the University of Ottawa) will hold the webinar "Holding Horizon: A New Measure of Active Investment Management".

This paper proposes a new holding horizon (HH) measure of active management and examines the relation between horizon and manager skill. Our HH measure identifies, in the cross-section, funds with higher future long-term alphas, while reported turnover identifies, in the time-series, when a particular fund is likely to exhibit a higher short-run alpha. The superior long-term performance of long-horizon funds is due to their selection of stocks with strong long-run fundamentals. Moreover, stocks largely held by long-horizon funds outperform stocks largely held by short-horizon funds by 2.7%-3.5% per year, adjusted for risk, over the following five-year period.

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