Portfolio diversification and filter rule profits

Patricia Chelley-Steeley and James Steeley

Applied Economics Letters, 2000, vol. 7, issue 3, 171-175

Abstract: Previously, it has been shown that the profits from a simple market timing trading rule applied to a portfolio of shares can be affected by the inter-relationships between the returns of the component securities. In this short letter, the results from applying a more sophisticated 'filter' rule to the same data are reported. Unlike the simple trading rule, the filter rule does produce some evidence of economic profits.

Date: 2000
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DOI: 10.1080/135048500351735

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