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Dynamic proportion portfolio insurance, smart beta investing and market impact

Titre du projet
Dynamic proportion portfolio insurance, smart beta investing and market impact
Description
Using a block-bootstrap evaluation framework to simulate historical performance of CPPIs, we show that combining smart beta and portfolio insurance is mutually beneficial. It preserves the improved risk-adjusted performance of the smart beta strategies in normal market regimes and offers protection against the non-diversifiable systematic risk of sudden market downturns.
Chercheur principal
Statut
Completed
Chercheurs
Boudt, Kris
Wauters, Marjan
Organisations
Identifiant interne
32787
identifiant
https://libra.unine.ch/handle/123456789/1952
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  • Publication
    Accès libre
    The economic benefits of market timing the style allocation of characteristic-based portfolios
    (2016)
    Ardia, David 
    ;
    Boudt, Kris
    ;
    Wauters, Marjan
    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.
  • Publication
    Accès libre