Imperfect Foresight

49 Pages Posted: 7 Jan 2019

See all articles by Jonathan Briggs

Jonathan Briggs

Canada Pension Plan Investment Board

Brendon Freeman

CPPIB

Emre Konukoglu

Canada Pension Plan Investment Board

Philippe Zaugg

CPPIB

Date Written: December 22, 2018

Abstract

We present an explicit framework for horizon based investing that results in superior expected risk adjusted returns and lower turnover. The framework includes a means of empirically determining an expected horizon and its confidence intervals, an alpha model structure linking horizon with the inter-arrival rate of information, and a Fama-MacBeth forecasting model.

Suggested Citation

Briggs, Jonathan and Freeman, Brendon and Konukoglu, Emre and Zaugg, Philippe, Imperfect Foresight (December 22, 2018). Available at SSRN: https://ssrn.com/abstract=3305734 or http://dx.doi.org/10.2139/ssrn.3305734

Jonathan Briggs (Contact Author)

Canada Pension Plan Investment Board ( email )

1 Queen St. E.
Ste. 2600
Toronto, Ontario M5C2W5
Canada

Brendon Freeman

CPPIB ( email )

1 Queen St. E.
Ste. 2600
Toronto, Ontario M5C2W5
Canada

Emre Konukoglu

Canada Pension Plan Investment Board ( email )

1 Queen St. E.
Ste. 2600
Toronto, Ontario M5C2W5
Canada

Philippe Zaugg

CPPIB ( email )

1 Queen St. E.
Ste. 2600
Toronto, Ontario M5C2W5
Canada

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