Portfolio diversification and filter rule profits

Patricia L. Chelley-Steeley, James M. Steeley

Research output: Contribution to journalArticle

Abstract

Previously, it has been shown that the profits from a simple market timing trading rule applied to a portfolio of shares can be affected by the inter-relationships between the returns of the component securities. In this short letter, the results from applying a more sophisticated 'filter' rule to the same data are reported. Unlike the simple trading rule, the filter rule does produce some evidence of economic profits.
Original languageEnglish
Pages (from-to)171-175
Number of pages5
JournalApplied Economics Letters
Volume7
Issue number3
DOIs
Publication statusPublished - Mar 2000

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Filter
Portfolio diversification
Trading rules
Profit
Market timing
Economic profit
Interrelationship

Keywords

  • profits
  • simple market timing trading rule
  • portfolio of shares
  • returns of the component securities
  • economic profits

Cite this

Chelley-Steeley, Patricia L. ; Steeley, James M. / Portfolio diversification and filter rule profits. In: Applied Economics Letters. 2000 ; Vol. 7, No. 3. pp. 171-175.
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Portfolio diversification and filter rule profits. / Chelley-Steeley, Patricia L.; Steeley, James M.

In: Applied Economics Letters, Vol. 7, No. 3, 03.2000, p. 171-175.

Research output: Contribution to journalArticle

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