A comprehensive appraisal of style-integration methods

Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre

Journal of Banking & Finance, 2019, vol. 105, issue C, 134-150

Abstract: The paper provides a comprehensive appraisal of style-integration methods in equity index, fixed income, currency, and commodity futures markets. We confront the naïve equal-weight integration (EWI) method with a host of ‘sophisticated’ style-integrations that derive the style exposures using past data according to utility maximization, style rotation, volatility timing, cross-sectional pricing, style momentum or principal components criteria. The analysis, conducted separately per futures market and cross-markets, reveals that the EWI portfolio is unrivalled in terms of risk-adjusted performance while it sustains a relatively low turnover. The findings are robust to analyses that entertain variants of the sophisticated integrations, longer estimation windows, several asset scoring schemes, data snooping tests, sub-periods evaluation and equities in place of futures.

Keywords: Style integration; Futures markets; Long-short asset allocation (search for similar items in EconPapers)
JEL-codes: G13 G14 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:105:y:2019:i:c:p:134-150

DOI: 10.1016/j.jbankfin.2019.05.016

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