Analysing digits for portfolio formation and index tracking

Autor:	W.A. Kreiner, Peter N. Posch
Rok vydání:	2006
Předmět:	Information Systems and Management Index (economics) Financial economics Strategy and Management Percentage point Digital asset management Measure (mathematics) Stock market index Expected shortfall Style analysis Statistics Economics Business and International Management Standard normal table
Zdroj:	Journal of Asset Management. 7:69-80
ISSN:	1479-179X 1470-8272
Popis:	A general methodology is proposed for using digit distributions as an approach to examining arbitrary datasets. With the Newcomb–Benford law as a starting point, a more general framework for digital analysis is developed. A new measure is proposed based on this framework, namely the Digital-Fit Factor (DFF). The use of index comparison on the S&P500 and the Dow Jones Industrial Average is demonstrated. The DFF is then used to construct portfolios and measure their performance compared with that of the index. The average returns using the measure exceed the index composition by 6–14 percentage points per year by being more stable at the same time. Furthermore, these measures require only a very small proportion of the available information and are thus very efficient.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::a2863ca46795ce027e7ae4130eae1cce https://doi.org/10.1057/palgrave.jam.2240203 Zobrazit plný text záznamu Plný text ve formátu PDF