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Tactical Size Rotation in Switzerland

Author

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  • Thorsten Hock

Abstract

The size premium, defined as the return differential between shares of small and large companies, is subject to cyclical fluctuations. This study examines the predictability of this premium for the Swiss stock market applying a new and flexible forecasting approach. Our strategies provide promising information ratios. The results show that risk variables (VIX, TED spread, etc.), the performance of the S&P 500 and statistical variables such as AR(1) terms or trends prove to be successful forecasting variables in our algorithm. Furthermore, variables that sum up the consensus estimates of equity analysts (IBES) make valuable forecast contributions.

Suggested Citation

  • Thorsten Hock, 2010. "Tactical Size Rotation in Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(III), pages 553-576, September.
  • Handle: RePEc:ses:arsjes:2010-iii-2
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    References listed on IDEAS

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    More about this item

    Keywords

    Size Effect; Portfolio Mangement; Taktical Asset Allocation; Futures-Overlay;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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