Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
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.
- © 2014 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600