Equally-weighted
Diversification returns, rebalancing returns and volatility pumping
... In a wide ranging study using 14 alternative constrained optimal weighting schemes and on various portfolios of US returns data (mostly over 1963-2004), DeMiguel et al (2009) find that an equally-weighted ...
52
Quantitative or momentum-based multi-style rotation? UK experience
... create equally weighted long investment portfolio of the two indices for which the ordered logit model generated the highest probabilities of being ranked first, and short sell the other two indices for ...
27
Performance of Idiosyncratic Volatility Strategies in Commodity Markets: Delusion or Reality?
... The table reports annualised mean excess return (Mean), standard deviation, Sharpe ratio and alpha of long-short idiosyncratic volatility portfolios. R stands for the ranking period used to measure idiosyncratic ...
6
Do German Green Mutual Funds Perform Better Than Their Peers?
... The performance evaluation of environmental, SRI and non-SRI mutual funds was carried out using equally weighted portfolios returns in three different periods, as listed in t[r] ...
16
Concomitant therapy with Cineole (Eucalyptole) reduces exacerbations in COPD: A placebo-controlled double-blind trial
... The proposed sample size for the present trial was 240 patients for both treatment groups. The sample size was chosen to detect a minimum difference of 15% of exacer- bations after 6 months of treatment. Analysis of ...
7
Trading strategies and their implementation into portfolios
... Aggarwal and Gupta (2009) investigated whether a strategy based on accounting fundamentals can help investors to distinguish between winners and losers in the Indian stock market. The strategy adopted is based on the ...
334
The Divisive Power of Humour: Comedy, Taste and Symbolic Boundaries
... In the British study cultural capital ‘resources’ were calculated using equally weighted measures for social origin parental occupation and education, education and occupation.2 High Cul[r] ...
34
Foreign exchange exposure, competition and the market value of domestic corporations of UAE
... of equally weighted indices. The reason for choosing Equally Weighted exchange rate is that, this study just focused on the value of domestic firms with sales and purchases in the local market ...
253
An empirical study of mutual funds performance in China
... The single-index alpha (Jensen, 1968) which is the intercept term in equation (3) represents superior (inferior) performance of fund i if the alpha is greater (less) than zero. The regression assumes the error terms are ...
21
La persistance des performances des OPCVM actions françaises
... La performance est calculée à partir des rentabilités mensuelles d’un portefeuille comprenant tous les OPCVM de la base de données. Ce portefeuille de fonds a été construit en deux versions, la première donnant le même ...
40
Clique descriptor of affine invariant regions for robust wide baseline image matching
... (i.e., equally weighted clique descriptor distance and adaptively weighted clique descriptor distance) have been proposed and experimental results demonstrate that both distances are robust to ...
16
Agency Conflicts, Expropriation and Firm Value: Evidence from Securities Market Regulation in China
... We implement the portfolio time-series approach by forming a portfolio that is long in high CG-Q firms and short in low CG-Q firms. We define low CG-Q firms as those in the lowest CG-Q quintile and high CG-Q firms as ...
47
Currency Portfolio Risk Measurement with Generalized Autoregressive Conditional Heteroscedastic Extreme Value Theory Copula Model
... an equally weighted portfolio of currency exchange ...an equally weighted portfolio of four cur- rency exchange returns is also computed using the benchmark models and the GARCH-EVT-copula ...
21
The Skewness of Commodity Futures Returns
... Name Definition Panel A: Baseline four-factor model EW Excess return of equally-weighted long-only monthly-rebalanced portfolio of commodity futures TS Excess return of long-short portfo[r] ...
44
Essays on hedge fund risk, return and incentives
... Ibbotson and Chen (2005) use the TASS database with a sample period 1994-2004. The authors use a three factor model (factors used S&P 500 total return, U.S. Intermediate Government Bond returns, and U.S. Treasury ...
167
The Attenuation of Idiosyncratic Risk under Alternative Portfolio Weighting Strategies: Recent Evidence from the UK Equity Market
... market-cap weighted portfolio as opposed to the equally weighted portfolio) that large market capitalisation stocks underperformed the index while having higher standard ...
15
Managers' private information, investor underreaction and long-run SEO performance
... Table 3 Unconditional stock performance following seasoned equity offerings Panel A reports equally-weighted EW and value-weighted VW buy-and-hold returns in % for 2,879 equity issuers I[r] ...
54
Goodness of fit testing for regime switching models
... is 2000 observations. The simulation study is performed for two different sets of parameters, see Table 1 for details. Observe that regimes of MRS models are not directly observable and, hence, the standard edf approach ...
12
Exact energy spectrum for models with equally spaced point potentials
... With the advent of nanostructures and the ever increasing need for controlling quantum de- vices, the standard assumption of periodicity is no longer accurate enough. But then, Bloch’s theorem no longer applies and, to ...
18
MRI in multiple myeloma: a pictorial review of diagnostic and post-treatment findings
... diffusely decreased with additional foci interspersed. Those foci are often better demarcated on fat-saturated images (Fig 9d). In about 3 % of the cases on T1-weighted images but also T2-weighted ...
17