The Long-Term Performance of EquityInvestment Strategies and the Correlation Trap

Autor:	Daniele Lamponi
Rok vydání:	2014
Předmět:	Correlation Economics and Econometrics Financial economics Investment strategy Accounting Econometrics Economics Mean reversion Stock market General Business Management and Accounting health care economics and organizations Finance Stock (geology)
Zdroj:	The Journal of Portfolio Management. 40:135-142
ISSN:	2168-8656 0095-4918
DOI:	10.3905/jpm.2014.40.4.135
Popis:	This article aims to address the relationship between a measure of stock correlation and a decrease in the risk-adjusted performance of basic quantitative investment strategies. The author studied simple momentum, value, size, and mean reversion investment strategies in the U.S. stock market for the period from 1928 to 2012. The empirical results suggest that all strategies appear to be caught in a correlation trap, as they have the tendency to experience a decrease in risk-adjusted performance when the proposed measure of correlation increases. This effect is present over the whole study period, not restricted to the last few years.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::79fb6634829b8eb78da1ce0d1db5a922 https://doi.org/10.3905/jpm.2014.40.4.135 Zobrazit plný text záznamu