Determining an optimal multiplier in dynamic core-satellite strategies
This article investigates the performance of various multiplier techniques in reducing downside risk for dynamic core-satellite portfolios. Using Monte Carlo simulations calibrated on monthly data for three different portfolios over a 10-year period, we show that the dynamic IR/TE multiplier offers...
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| Veröffentlicht in: | Journal of asset management 2013-08, Vol.14 (4), p.210-227 |
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| container_title | Journal of asset management |
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| creator | Caliman, Thibaut D'Hondt, Catherine Petitjean, Mikael |
| description | This article investigates the performance of various multiplier techniques in reducing downside risk for dynamic core-satellite portfolios. Using Monte Carlo simulations calibrated on monthly data for three different portfolios over a 10-year period, we show that the dynamic IR/TE multiplier offers the best level of capital protection, as the specified floor is violated in less than 1 per cent of the cases. Even though other multipliers might offer higher average excess returns, the IR/TE multiplier still captures a significant fraction of the satellite excess return. In addition, it delivers an almost constant average floor violation rate. |
| doi_str_mv | 10.1057/jam.2013.16 |
| format | Article |
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| ispartof | Journal of asset management, 2013-08, Vol.14 (4), p.210-227 |
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| language | eng |
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| source | Springer Nature - Complete Springer Journals |
| subjects | Analysis Asset allocation Asset management Diversification Economics and Finance Finance Financial Services Investors Methods Monte Carlo simulation Original Article Portfolio management Risk exposure Risk Management Satellites Studies |
| title | Determining an optimal multiplier in dynamic core-satellite strategies |
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