Active Alpha Portfolio Management: Appendix B

An Alternative Way to Manage an Equity Portfolio

2009 Volume 12 Issue 1

Appendix B: Table of Results

Comments:

  • Daily maximum loss is largest daily loss during worst draw-down period
  • Period maximum loss is worst draw-down period during back-testing

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Sources

Nicholas Barberis and Andrei Schleifer, “Style Investing,” discussion paper, Harvard Institute of Economic Research, 1908, (December 2000).

E. Dimson, P. Marsh, and M. Staunton, “The Worldwide Equity Premium: A Smaller Puzzle,” paper, EFA 2006 Zurich Meetings, (April 7, 2006).

H. Hong and J. Stein, “A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets,” The Journal of Finance, LIV, no. 6, (December 1999).

Bob Litterman, “Active Alpha Investing,” open letter to investors, Goldman Sachs Asset Management, (2005).

H. Markowitz, “Portfolio Selection,” Journal of Finance 7, no. 1, (March 1952): 7791.

K. Geert Rouwenhorst, “International Momentum Strategies,” working paper, Yale School of Management, (February 1997).

R. Schiller, “From Efficient Markets Theory to Behavioral Finance,” Journal of Economic Perspectives, 17 (Winter 2003).

Yahoo! Finance, Yahoo!, http://finance.yahoo.com/.

About the Author(s)

Davide Accomazzo, MBA, teaches global capital markets and investments/portfolio management and is a frequent writer on the topic of markets and other economic issues. He is Chief Investment Officer for THALASSA CAPITAL LLC.

Rosario Rivadeneyra, is a candidate for a Master’s Degree in Finance at EGADE, a leading business school in Monterrey, Mexico. In 2007, she studied at the Graziadio School of Business and Management of Pepperdine University as an exchange student, and in 2008, she interned at Cervino Capital Management LLC, where she helped develop this study. She is currently working with the company in developing new products. In 2003, she co-founded Grupo Rosa Rojo SA de CV, a fashion accessory concern, where she served as general manager for the brand "Rosahigo" for three years. She is a contemporary dancer and a supporter of the performing arts.

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