A Comprehensive Appraisal of Style-Integration Methods

54 Pages Posted: 24 Jul 2017 Last revised: 20 Feb 2020

See all articles by Adrian Fernandez-Perez

Adrian Fernandez-Perez

Auckland University of Technology

Ana-Maria Fuertes

Bayes Business School, City, University of London

Joëlle Miffre

Audencia Business School

Date Written: May 8, 2019

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

JEL Classification: G13; G14

Suggested Citation

Fernandez-Perez, Adrian and Fuertes, Ana-Maria and Miffre, Joelle, A Comprehensive Appraisal of Style-Integration Methods (May 8, 2019). Journal of Banking and Finance, Volume 105, August 2019, pages 134-150, Available at SSRN: https://ssrn.com/abstract=3005347 or http://dx.doi.org/10.2139/ssrn.3005347

Adrian Fernandez-Perez

Auckland University of Technology ( email )

AUT City Campus
Private Bag 92006
Auckland, 1142
New Zealand
+64 9 921 9999 (Phone)
+64 9 921 9940 (Fax)

Ana-Maria Fuertes (Contact Author)

Bayes Business School, City, University of London ( email )

Faculty of Finance
106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 207 477 0186 (Phone)
+44 207 477 8881 (Fax)

HOME PAGE: http://bit.ly/3RxCJqu

Joelle Miffre

Audencia Business School ( email )

8 Road Joneliere
BP 31222
Nantes Cedex 3, 44312
France

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
708
Abstract Views
3,701
Rank
67,206
PlumX Metrics