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Abstract
In this article, the authors examine the feasibility of market timing between large-capitalization value and growth portfolios with the use of entropy measures as compared with previously tested methods of market timing using stock market volatility (using the CBOE’s Volatility Index, VIX). Including transaction fees, style rotations using entropy measures appear to provide superior risk-adjusted returns and may offer a desirable alternative strategy for risk-averse investors seeking equity exposure.
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