RT Journal Article SR Electronic T1 Further Analysis of Efficient Portfolios with the USER Data JF The Journal of Investing FD Institutional Investor Journals SP 81 OP 88 DO 10.3905/joi.2012.21.1.081 VO 21 IS 1 A1 John B. Guerard, Jr A1 Eli Krauklis A1 Manish Kumar YR 2012 UL https://pm-research.com/content/21/1/81.abstract AB In this study, we show that earnings forecasting and price momentum strategies complement fundamental stock selection strategies such that a composite model can be effectively implemented using both enhanced index-tracking portfolios and traditional mean–variance portfolios. The mean–variance optimization model produces statistically significant asset selection portfolios that dominate less-aggressive enhanced index-tracking portfolio construction models. We show that portfolios that use tracking error in risk optimization techniques produce a superior risk–return trade-off than traditional mean–variance optimization techniques. A portfolio manager should use a data mining corrections test to minimize the probability that the models selected resulted from a near-random process.TOPICS: VAR and use of alternative risk measures of trading risk, big data/machine learning, portfolio construction