Reference : Strategic Beta and Style Investing: Implication of a (In)dependent Sorting
Scientific congresses and symposiums : Unpublished conference/Abstract
Business & economic sciences : Finance
http://hdl.handle.net/2268/220370
Strategic Beta and Style Investing: Implication of a (In)dependent Sorting
English
Fays, Boris mailto [Université de Liège - ULiège > HEC Liège : UER > Analyse financière et finance d'entreprise >]
Lambert, Marie mailto [Université de Liège - ULiège > HEC Liège : UER > Analyse financière et finance d'entreprise >]
Papageorgiou, Nicolas mailto [HEC Montreal > Département de finance > > >]
31-May-2017
43
Yes
International
AFFI international Conference 2017
du 31 mai 2017 au 2 juin 2017
UNIVERSITE GRENOBLE ALPES
Valence
France
[en] Finance ; Asset pricing ; portfolio management
[en] We examine the performance of Strategic Beta on investment style portfolios instead of individual stocks. This method simplifies the allocation and reduces the errors in the covariance matrix of returns. We group stocks in categories on size, value and momentum characteristics according to either a traditional independent sort as in Fama and French (1993) or a dependent sort (Lambert and Hübner 2013). Because a dependent sort controls for correlated variables and better stratifies the stock universe in investment style portfolios, Strategic Beta on dependent portfolios delivers significant higher Sharpe ratios. We explain this outperformance with a decomposition of the diversification return from Booth and Fama (1992).
Researchers
http://hdl.handle.net/2268/220370

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