Portable Alpha and Beta Strategies in the Euro Zone
| Autor: | Daphne Sfeir, Lionel Martellini, Noël Amenc, Philippe Malaise |
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| Rok vydání: | 2004 |
| Předmět: | |
| Zdroj: | The Journal of Portfolio Management. 30:204-215 |
| ISSN: | 2168-8656 0095-4918 |
| DOI: | 10.3905/jpm.2004.204 |
| Popis: | While stock-picking strategies are in principle meant to exploit evidence of predictability in individual stock-specific risk, most equity managers, as a result of their bottom-up security selection decisions, often end up making discretionary and sometimes unintended bets on market, sector, and style returns as much as they make bets on individual stock returns. Portfolio managers in the euro zone can benefit from using derivatives markets to actively manage their asset allocation decisions. As there is statistically and economically significant predictability in Dow Jones Euro STOXX 50 excess return, these econometric forecasts can support portfolio decisions that generate active asset allocation portable alpha benefits. Active portfolio managers can also benefit from portable beta in suitably designed option strategies that enhance the performance of tactical asset allocation programs by consistently adding value during periods of low volatility when timing strategies are known to perform rather poorly. |
| Databáze: | OpenAIRE |
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