The forward unbiasedness regression is revisited by varying the prediction horizons from 1 day to 1 year. The panel data suggests some possibility of a positive slope coefficient at a short horizon while the negative coefficient improves forecasting performance at longer horizons

Portfolio implementation is an essential part of active investment strategies. The trading horizon-the length of time allocated for trade implementation, is an important consideration in portfolio trading. Previous research on optimal trading limits the trading horizon as a fixed value. In this...

In contrast to factor-based “smart beta”, diversification-based “smart beta” assumes that, seemingly “naively”, all investments are just average or the same in some dimension. The four possible dimensions: portfolio weight, expected return, risk-adjusted return, and risk...

Rebalancing alpha is the excess return of a fixed-weight portfolio, which is regularly rebalanced, over its buy-and-hold counterpart. Two kinds of effects, both results of portfolio rebalancing, contribute to rebalancing alpha. The first is a volatility effect that arises from randomness of...

"Upside participation and downside protection" is a popular motto for many investors. It has taken on much more significance in recent years in the wake of the global financial crisis. But how do we define and evaluate strategies from the perspective of "upside participation and downside...

We compare expected value and variance of terminal wealth for two simple but distinctly different portfolio approaches: fixed-weight with regular rebalancing and buy-and-hold with no rebalancing. We carry out statistical analysis under a variety of return assumptions and portfolio settings. For...