Research and publications
Tactical Style Allocation - A New Form of Market Neutral Strategy
Even though there is little evidence of predictability in stock specific risk in the absence of private information, most equity market neutral managers still rely on stock picking as the preferred way to generate abnormal returns. In this paper, we document the benefits of a new form of market-neutral portfolio strategy that aims at deliver absolute return over the full business cycle through systematic equity style timing decisions. A revisited version of this paper was published in the Summer 2003 issue of the Journal of Alternative Investments.
Author(s):
Noël Amenc, Philippe Malaise, Lionel Martellini, Daphne Sfeir
Summary:
Even though there is little evidence of predictability in stock specific risk in the absence of private information, most equity market neutral managers still rely on stock picking as the preferred way to generate abnormal returns. In this paper, we document the benefits of a new form of market-neutral portfolio strategy that aims at deliver absolute return over the full business cycle through systematic equity style timing decisions. A revisited version of this paper was published in the Summer 2003 issue of the Journal of Alternative Investments.
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Register/Log in| Type : | Working paper |
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| Date : | 15/07/2003 |
| Keywords : |
Tactical Allocation |
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