Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 18, 2023 erstellt
Beschreibung:
This paper explores the effects of the number of portfolio holdings and the size of the investment universe on momentum strategies in India. Using mixed linear models, we test hypotheses related to exposure to market, size, and momentum factors, the influence of universe selection on these exposures, and the role of idiosyncratic risk. While concentrated portfolios offer superior factor exposure, they also carry higher idiosyncratic risk. On a risk-adjusted basis, highly concentrated portfolios do not outperform. Our findings also illustrate that the choice of the investment universe and the number of holdings in the portfolio significantly affect performance momentum strategies. We propose a framework targeting craftsmanship alpha, the excess returns skilled managers can achieve beyond quantitative strategies