---
title: Predicting High-Alpha Fund Holdings
url: https://www.ml-quant.com/papers/ssrn/4924423/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4924423
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4924423
featured: 2024-08-15
citations: unknown
topic: Portfolio & Allocation
---


# Predicting High-Alpha Fund Holdings

Machine learning can predict the stocks held by successful mutual fund managers more accurately than other methods, with past ownership, market cap, and volume being key factors.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4924423
- Identifier: SSRN 4924423
- Released: 2024-08-13
- First featured: Quant Letter No. 61 (2024-08-15): https://www.ml-quant.com/issues/2024-08-15/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Portfolio & Allocation

## Related

- [The Performance of Household-held Mutual Funds: Evidence from the Euro Area](https://www.ml-quant.com/papers/ssrn/4849419/): A study from 2009 to 2020 shows that Euro-area households prefer pricier, lower risk-adjusted return mutual funds, particularly equity funds, and tend to follow past returns.
- [Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)](https://www.ml-quant.com/papers/ssrn/4824172/): The study investigates the success of an intraday momentum strategy on SPY, an ETF tracking the SP500, which resulted in a 1985 total return from 2007 to 2024.
- [Reaching for Duration and Leverage in the Treasury Market](https://www.ml-quant.com/papers/ssrn/4816018/): The article reveals that the use of Treasury futures by mutual funds varies significantly over time and across funds, influencing the variation in aggregate Treasury futures open interest.
- [Machine Learning Mutual Fund Flows](https://www.ml-quant.com/papers/ssrn/4812038/): Nonlinear machine learning models are more effective than linear models in predicting future fund flows, with past flows and the Morningstar rating as key predictors.
- [Who Clears the Market When Passive Investors Trade?](https://www.ml-quant.com/papers/ssrn/4777585/): The article investigates the role of firms in providing shares to passive investors, particularly in response to index funds' buying.
- [Imputing Mutual Fund Trades](https://www.ml-quant.com/papers/ssrn/4678139/): The paper introduces a new method to estimate daily mutual fund trades in individual stocks using daily stock prices, returns, and quarterly fund holdings, showing high accuracy for larger trades.