Are there any systems that use a stock's alpha to select a portfolio of stocks to invest in? Do stocks with high historical alpha really outperform?
I feel like I don't get you question: my system has an alpha model that generate signals used to compose the portfolio -among other things- All systems should have some kind of alpha signal generators. As a references, I like the book Inside the blackbox, it explains the basic of any system.
I mean, if you sort out a list of the alphas of stocks and only invest in stocks with high alpha, just like the Piotroski F-Score. Would it increase your chances of getting good returns?
Oh! I get your point... but sorry, I can't help you there. I didn't research that kind of relationships.
I couldn't leave it... Lol Looks like there is something there. I will spend some time on it. https://www.quantrocket.com/blog/piotroski-f-score/
What about *Smart Beta* fixed income as a stable like T Bills in a Port folio magin account, and then use index futures to create Alpha But, with stock I think some ETFs and fund try to sell them self as alfa founds/ETFs