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Stats › Gestion active, passive et flux › The crowd portfolio

The crowd's portfolio had alpha and the crowd did not

Raw t = 1.27: 0.104%+0.104%Brutt = 1.27Market model t = 1.37: 0.050%+0.050%Market modelt = 1.37Six factor t = 2.70: 0.065%+0.065%Six factort = 2.70

Daily alphas of an equal weighted portfolio of all Robinhood holdings, net of the risk free rate, 1 June 2018 to 13 August 2020. Only the six factor specification is significant. The raw and market model alphas are not, which is the part usually left out when this result is cited.

The aggregate portfolio of Robinhood users earned a significant six factor alpha of 1.29% a month. Over the same period the users' own timing weighted return was 19.6% against 28% for simply holding the market the whole time.

1.29%Six factor monthly alpha of the aggregate holdings portfolio, t = 2.46
1.20%The same with a three month delay, t = 2.43
19.6%Timing weighted return actually earned by users
28%Return from simply holding the market over the same window

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