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

Keywords

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

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