RT Journal Article
SR Electronic
T1 Multistyle Rotation Strategies
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 17
OP 29
DO 10.3905/jpm.2002.319839
VO 28
IS 3
A1 Parvez Ahmed
A1 Larry J. Lockwood
A1 Sudhir Nanda
YR 2002
UL https://pm-research.com/content/28/3/17.abstract
AB Terminal wealth improves dramatically by shifting from single–factor to multifactor models of portfolio formation. The authors provide simulated results to demonstrate the variability in terminal wealth for each style portfolio. They find that terminal wealth increases more than 50% by rotating across multiple– versus single–investment style portfolios. Their results provide downside risk assessment that is unencumbered by distributional assumptions and time diversification problems, and that lends itself well to value at risk analysis.