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Using VIX Entropy Indicators for Style Rotation Timing

Levan Efremidze, James A. DiLellio and Darrol J. Stanley
The Journal of Investing Fall 2014, 23 (3) 130-143; DOI: https://doi.org/10.3905/joi.2014.23.3.130
Levan Efremidze
is a visiting assistant professor of finance at the Graziadio School of Business and Management at Pepperdine University in Malibu, CA.
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  • For correspondence: levan.efremidze@gmail.com
James A. DiLellio
is an assistant professor at the Graziadio School of Business and Management at Pepperdine University in Malibu, CA.
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  • For correspondence: james.dilellio@pepperdine.edu
Darrol J. Stanley
is a professor at the Graziadio School of Business and Management at Pepperdine University in Malibu, CA.
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  • For correspondence: darrol.stanley@pepperdine.edu
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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.

TOPICS: Portfolio construction, performance measurement

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The Journal of Investing: 23 (3)
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Using VIX Entropy Indicators for Style Rotation Timing
Levan Efremidze, James A. DiLellio, Darrol J. Stanley
The Journal of Investing Aug 2014, 23 (3) 130-143; DOI: 10.3905/joi.2014.23.3.130

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Using VIX Entropy Indicators for Style Rotation Timing
Levan Efremidze, James A. DiLellio, Darrol J. Stanley
The Journal of Investing Aug 2014, 23 (3) 130-143; DOI: 10.3905/joi.2014.23.3.130
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  • Article
    • Abstract
    • ENTROPY AND APPLICATION TO THE VIX
    • SAMPLE, METHODOLOGY, AND EMPIRICAL RESULTS
    • IMPLEMENTATION OF STYLE ROTATION
    • IMPLICATIONS FOR INVESTMENT MANAGEMENT
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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