Performance of 130/30 Strategies Sebastian Riegler-Rittner

ISBN: 9783941482210

Published: June 9th 2009

Paperback

268 pages


Description

Performance of 130/30 Strategies  by  Sebastian Riegler-Rittner

Performance of 130/30 Strategies by Sebastian Riegler-Rittner
June 9th 2009 | Paperback | PDF, EPUB, FB2, DjVu, AUDIO, mp3, RTF | 268 pages | ISBN: 9783941482210 | 4.64 Mb

One of the latest innovations in asset management that has rapidly increased in popularity in recent years is the so-called 130/30 strategy. Through a combination of leverage and short selling this strategy enables portfolio managers to underweightMoreOne of the latest innovations in asset management that has rapidly increased in popularity in recent years is the so-called 130/30 strategy. Through a combination of leverage and short selling this strategy enables portfolio managers to underweight unattractive securities to a much bigger extent than it is possible with long-only portfolios.

This book analyzes the performance of 130/30 and other active extension portfolios that are built according to a quantitative security selection model using typical value fundamentals, such as the dividend yield or the price-to-earnings ratio. In comparison to the benchmark and traditional long-only portfolios the 130/30 strategy does outperform the former two over a 15-year time period from 1993 to early 2008, even after accounting for costs. When analyzing the risk-adjusted returns in more detail it becomes obvious that a 130/30 strategy is an especially promising alternative to passive or active long-only investment strategies in rather weak market phases as they were present during the early years of this decade.

That is why a dynamic strategy that switches between 130/30, long-only and index depending on the respective market phase is analyzed as well. When using for example an autoregressive model to select the appropriate strategy such a dynamic approach delivers significantly higher returns than a static active extension portfolio does.



Enter the sum





Related Archive Books



Related Books


Comments

Comments for "Performance of 130/30 Strategies":


technikakuchenna.pl

©2014-2015 | DMCA | Contact us