PT  - JOURNAL ARTICLE
AU  - Levan Efremidze
AU  - James A. DiLellio
AU  - Darrol J. Stanley
TI  - Using VIX Entropy Indicators for Style Rotation Timing
AID  - 10.3905/joi.2014.23.3.130
DP  - 2014 Aug 31
TA  - The Journal of Investing
PG  - 130--143
VI  - 23
IP  - 3
4099  - https://pm-research.com/content/23/3/130.short
4100  - https://pm-research.com/content/23/3/130.full
AB  - 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