Multistyle rotation strategies - The benefits are considerable.

被引:12
作者
Ahmed, P [1 ]
Lockwood, LJ
Nanda, S
机构
[1] Penn State Univ, Middletown, PA 17057 USA
[2] Texas Christian Univ, Financial Serv, Ft Worth, TX 76129 USA
关键词
D O I
10.3905/jpm.2002.319839
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Terminal wealth improves dramatically by shifting from single-factor to multifactor models of portfolio formation. The authors provide simulated results to demonstrate the variability in terminal wealth for each style portfolio. They find that terminal wealth increases more than 50% by rotating across multiple-versus single-investment style portfolios. Their results provide downside risk assessment that is unencumbered by distributional assumptions and time diversification problems, and that lends itself well to value at risk analysis.
引用
收藏
页码:17 / +
页数:14
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