Dear Colleagues,

LTI@UniTO (www.carloalberto.org/lti) and Collegio Carlo Alberto are pleased to invite you to the following seminar in Quantitative Finance, that will take place on June 17th at 3 pm CET via Zoom. Please register here: https://www.eventbrite.it/e/biglietti-holding-horizon-a-new-measure-of-activ... to get the Zoom link to join the webinar.

/Speaker/: Fabio Moneta https://telfer.uottawa.ca/en/directory/professors/moneta-fabio/ (University of Ottawa) Title: Holding horizon: a new measure of active investment management Abstract: 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. We hope you will be able to join us! Best, Luca Regis