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We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based on these risk factors by utilizing the heterotic risk...
Persistent link: https://www.econbiz.de/10013213003
-especially volatility and illiquidity shocks-over the subprime crisis in order to investigate their market timing activities. In a …
Persistent link: https://www.econbiz.de/10013169857
I examine the market, volatility and joint timing performance of US equity funds (locals) versus UK equity funds … specialised in timing and thus better interpret the macroeconomic factors than local fund managers. Using parametric estimates, I … find evidence that UK funds have a statistically better timing ability than US funds. I use a nonparametric model to show …
Persistent link: https://www.econbiz.de/10013148875
OBJECTIVES This research aimed to verify the performance of the Volatility Timing (VT) and Reward to Risk Timing (RRT … weights to less volatile assets, such as minimum variance, and volatility timing and reward to risk timing with η=4, would …
Persistent link: https://www.econbiz.de/10012926429
Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has...
Persistent link: https://www.econbiz.de/10013363078
In this paper, we propose a stop-loss strategy to limit the downside risk of the well-known momentum strategy. At a stop-level of 10%, we find, with data from January 1926 to December 2013, that the maximum monthly losses of the equal- and value-weighted momentum strategies go down from -49.79%...
Persistent link: https://www.econbiz.de/10013006637
According to recent research, diversification across risk factors (or investment styles) proves to be more efficient than traditional asset class diversification. In this paper, we take the next step and show that it is economically worthwhile to combine risk factors in a dynamic manner, in a...
Persistent link: https://www.econbiz.de/10013006973
Momentum is one of the largest and most pervasive market anomalies. However, despite a high mean and Sharpe ratio, momentum suffers from large negative skewness that comes from momentum crash periods. These crashes occur in times of both market stress and market rebound and thus variables that...
Persistent link: https://www.econbiz.de/10013026403
Inter-temporal risk parity is a strategy that rebalances risky assets and cash in order to target a constant level of ex-ante risk over time. When applied to equities and compared to a buy-and-hold portfolio it is known to improve the Sharpe ratio and reduce drawdowns. We apply inter-temporal...
Persistent link: https://www.econbiz.de/10013033533
A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility...
Persistent link: https://www.econbiz.de/10013137384