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Title:

Market Crises and the 1/N Asset-Allocation Strategy

Document type:
Zeitschriftenaufsatz
Author(s):
Escobar, M.; Mitterreiter, M.; Saunders, D.; Seco, L.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
international
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:
2
Journal issue:
4
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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