Journal of Banking & Finance Vol. 105 2019
A comprehensive appraisal of style-integration methods
Abstract
The paper provides a comprehensive appraisal of style-integration methods in equity index, fixed income, currency, and commodity futures markets. We confront the naïve equal-weight integration (EWI) method with a host of ‘sophisticated’ style-integrations that derive the style exposures using past data according to utility maximization, style rotation, volatility timing, cross-sectional pricing, style momentum or principal components criteria. The analysis, conducted separately per futures market and cross-markets, reveals that the EWI portfolio is unrivalled in terms of risk-adjusted performance while it sustains a relatively low turnover. The findings are robust to analyses that entertain variants of the sophisticated integrations, longer estimation windows, several asset scoring schemes, data snooping tests, sub-periods evaluation and equities in place of futures.
- DOI
- 10.1016/j.jbankfin.2019.05.016
- Volume
- 105
- Pages
- 134-150
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib