Portfolio diversification and filter rule profits

Patricia L. Chelley-Steeley; James M. Steeley

doi:10.1080/135048500351735

Portfolio diversification and filter rule profits

Patricia L. Chelley-Steeley
, James M. Steeley

Accounting and Finance

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

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 language	English
Pages (from-to)	171-175
Number of pages	5
Journal	Applied Economics Letters
Volume	7
Issue number	3
DOIs	https://doi.org/10.1080/135048500351735
Publication status	Published - Mar 2000

Keywords

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

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10.1080/135048500351735

Cite this

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Portfolio diversification and filter rule profits

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