2009 Volume 12 Issue 1

Active Alpha Portfolio Management: Appendix B

Active Alpha Portfolio Management: Appendix B

An Alternative Way to Manage an Equity Portfolio

Appendix B: Table of Results


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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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/.

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Authors of the article
Davide Accomazzo, MBA
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
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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