Methodologies for Isolating and Assessing the Portfolio Performance Potential of Stock Return Forecast Models with an Illustration

  • Bernell K. Stone
  • John B. GuerardJr.


This paper develops and illustrates methodology for full sample assessment of the potential ability of a stock returns forecasting model to improve portfolio performance. The methodology maps a cross-section of fractile portfolios formed by rank-ordering on forecasted return into a related cross-section of control-matched fractile portfolios. No cross-sectional variation in controls such as beta, size, tax differences, and growth means no impact on the cross-section of realized returns.


Stock Return Systematic Risk Sharpe Ratio Dividend Yield Control Constraint 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.Marriott SchoolBrigham Young UniversityUtahProvo
  2. 2.McKinley Capital Management, LLCAnchorageUSA

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