Advanced Search
MyIDEAS: Login

Zeitpunktsignale zum aktiven Portfoliomanagement
[Time-Point-Signals for Active Portfolio Management]

Contents:

Author Info

  • Czinkota, Thomas
Registered author(s):

    Abstract

    The successful active portfolio manager has to have at least two main competencies: Felicitous asset allocation choice and the competence to do so at the right point in time. Based on an extension of Grinold and Kahn’s Fundamental Law of Active Management, this paper describes a method to identify such points. We construct a Chow-Test for the identification of structural breaks within a default competence-structure. Time-Point-Signals identified this way are special in three ways: First, our method identifies the signals immediately after their occurrence. For statistical reasons, this has been difficult to achieve, yet represents a necessity for active management. Typically, 30 days worth of data are required to conduct statistical tests after a structural break. Such a long delay often leads only to the achievement of typical expected rates of return. In active markets, 30 days are the long run. Second, those time-point-signals are independent from a specific portfolio allocation and are therefore generally applicable to a selected investment universe. This means, it does not matter whether the indicated timing point is used by a good or an extremely good active manager, for both benefit from the support. In fact, we show with the help of the theoretical framework that the support is more valuable to less exceptional managers. Third, the theoretical link of time-point-signals to the framework of Grinold and Kahn is of significant use to practitioners. By understanding the timing of signals, portfolios are not just strengthened through intuition but also due to theoretical insights.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://mpra.ub.uni-muenchen.de/39565/
    File Function: original version
    Download Restriction: no

    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 39565.

    as in new window
    Length:
    Date of creation: Jun 2012
    Date of revision:
    Handle: RePEc:pra:mprapa:39565

    Contact details of provider:
    Postal: Schackstr. 4, D-80539 Munich, Germany
    Phone: +49-(0)89-2180-2219
    Fax: +49-(0)89-2180-3900
    Web page: http://mpra.ub.uni-muenchen.de
    More information through EDIRC

    Related research

    Keywords: Fundamental Law of Active Management; Information Coefficient; Information Ratio; aktives Fondsmanagement; Strukturbruch; Zeitpunktsignale; Timing;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
    2. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:39565. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.