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Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar, M.; Mitterreiter, M.; Saunders, D.; Seco, L.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Market Crises and the 1/N Asset-Allocation Strategy 
Abstract:
We consider portfolio management strategies where the investment style switches based on the value of a crisis indicator. A variety of strategies is considered in historical backtests on different datasets. Our findings show that certain simple switching strategies achieve statistically significant out-performance when compared to the equally-weighted portfolio with respect to the Sharpe ratio and Omega. In our backtest, the 1/N strategy and equal-risk contribution portfolio perform best during...    »
 
Intellectual Contribution:
Contribution to Practice 
Journal title:
The Journal of Investment Strategies 
Year:
2013 
Journal volume:
Journal issue:
Pages contribution:
1-23 
Reviewed:
ja 
Language:
en 
Status:
Postprint / reviewed 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Ja 
Commissioned:
not commissioned 
Professional Journal:
Ja 
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