The economic benefits of market timing the style allocation of characteristic-based portfolios

被引：6

作者：

Ardia, David ^{[1
,2
]}

Boudt, Kris ^{[3
,4
]}

Wauters, Marjan ^{[5
]}

机构：

[1] Univ Neuchatel, Inst Financial Anal, Rue AL Breguet 2, Neuchatel, Switzerland

[2] Univ Laval, Dept Finance Assurance & Immobilier, Quebec City, PQ, Canada

[3] Vrije Univ Brussel, Solvay Business Sch, Pl Laan 2, B-1050 Brussels, Belgium

[4] Vrije Univ Amsterdam, Fac Econ & Business, Amsterdam, Netherlands

[5] Katholieke Univ Leuven, Fac Econ & Business, Campus Carolus Antweipen,Korte Nieuwstr 33, B-2000 Antwerp, Belgium

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2016年 / 37卷

关键词：

Exchange traded funds; Factor models; Portfolio choice; Stock characteristics; Style investing; CROSS-SECTION; HETEROSKEDASTICITY; VOLATILITY; PERFORMANCE; RETURNS;

D O I：

10.1016/j.najef.2016.03.010

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Many exchange traded funds track simple characteristic-based equity portfolios such as the market capitalization, the fundamental value or the inverse volatility portfolio. This paper provides theoretical and empirical evidence for the economic benefits in exploiting the timing-gains that result from the time-varying relative performance of these characteristic-based portfolios. Under a factor model for expected returns, we show that this dynamic portfolio allocation can be efficient across the low-dimensional set of characteristic-based portfolios. We assess the out-of-sample performance on the S&P 100 universe over the period 1990-2013 and show gains in stability and significant positive risk-adjusted returns for the dynamic style portfolio. We conduct several robustness tests and extensions confirming the benefits of dynamic style allocation across characteristic-based portfolios. (C) 2016 Elsevier Inc. All rights reserved.

引用

页码：38 / 62

页数：25