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- W3123572910 abstract "The paper provides a comprehensive appraisal of style-integration methods in equity index, fixed income, currency, and commodity futures markets. We confront the naive 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." @default.
- W3123572910 created "2021-02-01" @default.
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- W3123572910 date "2017-01-01" @default.
- W3123572910 modified "2023-10-05" @default.
- W3123572910 title "Harvesting Commodity Styles: An Integrated Framework" @default.
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- W3123572910 doi "https://doi.org/10.2139/ssrn.3005347" @default.
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