{"title":"Timing and Sizing Skills of Systematic Strategies across Time and Economic Regimes","authors":"S. Browne, Andreas Farmakas, Spyros Mesomeris","doi":"10.3905/jpm.2023.1.505","DOIUrl":null,"url":null,"abstract":"The authors first characterize a variety of systematic strategies in terms of timing and sizing skills based on their frequencies and magnitudes of gains and losses over time and then move on to analyze how these characteristics differ over macroeconomic regimes, such as inflationary and recessionary periods. The results are based on new methodologies for significance testing of gain- and loss-based performance measures and complement previous results based on analysis of the Sharpe ratio of these strategies. The empirical results have implications for outcome-orientated portfolio construction as well as strategic and tactical asset allocation, because strategies that have desirable properties—as well as strategies with problematic performance—are identified under each regime. This approach also allows for identification and attribution of the inherent sources of these differences.","PeriodicalId":53670,"journal":{"name":"Journal of Portfolio Management","volume":"49 1","pages":"199 - 220"},"PeriodicalIF":1.1000,"publicationDate":"2023-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Portfolio Management","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.3905/jpm.2023.1.505","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
The authors first characterize a variety of systematic strategies in terms of timing and sizing skills based on their frequencies and magnitudes of gains and losses over time and then move on to analyze how these characteristics differ over macroeconomic regimes, such as inflationary and recessionary periods. The results are based on new methodologies for significance testing of gain- and loss-based performance measures and complement previous results based on analysis of the Sharpe ratio of these strategies. The empirical results have implications for outcome-orientated portfolio construction as well as strategic and tactical asset allocation, because strategies that have desirable properties—as well as strategies with problematic performance—are identified under each regime. This approach also allows for identification and attribution of the inherent sources of these differences.
期刊介绍:
Founded by Peter Bernstein in 1974, The Journal of Portfolio Management (JPM) is the definitive source of thought-provoking analysis and practical techniques in institutional investing. It offers cutting-edge research on asset allocation, performance measurement, market trends, risk management, portfolio optimization, and more. Each quarterly issue of JPM features articles by the most renowned researchers and practitioners—including Nobel laureates—whose works define modern portfolio theory.