Does removing the effect of short-term co-movements improve portfolio performance over monthly horizons? Dow Jones Industrial Average Analysis

Rafael Chaves (), Cleiton Taufemback () and Hudson Torrent ()
Additional contact information
Rafael Chaves: Universidade Federal do Rio Grande do Sul
Cleiton Taufemback: Universidade Federal do Rio Grande do Sul
Hudson Torrent: Universidade Federal do Rio Grande do Sul

Economics Bulletin, 2026, vol. 46, issue 1, 41 - 54

Abstract: Portfolio strategies often seek to reduce exposure to short-term market fluctuations while maintaining robust performance over defined investment horizons. This study proposes a modification to the Markowitz model that filters out short-term co-movements in asset returns, aiming to construct portfolios less sensitive to transient fluctuations. Using historical data from the Dow Jones Industrial Average, we evaluate the performance of the proposed method relative to the traditional Markowitz and Naive models over investment horizons of one, three, and six months. The results indicate that portfolios constructed with the proposed approach generally outperform the benchmark models in terms of returns and exhibit statistically significant improvements in certain periods.

Keywords: Time series; low-pass filter; Markowitz; co-movements; Dow Jones. (search for similar items in EconPapers)
JEL-codes: C5 G1 (search for similar items in EconPapers)
Date: 2026-03-30
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2026/Volume46/EB-26-V46-I1-P5.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-26-00332

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().