Active Alpha Portfolio Management: Appendix B

An Alternative Way to Manage an Equity Portfolio

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

Back to article

Back to Appendix A

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/.

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.

More articles from 2009 Volume 12 Issue 1

More Than Money

In this audio interview, seven-time social entrepreneur Mark Albion answers questions about building a just and sustainable world through business.

Related Articles
GBR Special Issue: Spiritual Leadership

GBR Special Issue: Spiritual Leadership

Living in a complex world and moving into the smart machine age, the need for good leadership is even greater; spiritual leadership provides a compass to navigate through difficult decisions.