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Portfolio diversification and filter rule profits


  • Patricia Chelley-Steeley
  • James Steeley


Previously, it has been shown that the profits from a simple market timing trading rule applied to a portfolio of shares can be affected by the inter-relationships between the returns of the component securities. In this short letter, the results from applying a more sophisticated 'filter' rule to the same data are reported. Unlike the simple trading rule, the filter rule does produce some evidence of economic profits.

Suggested Citation

  • Patricia Chelley-Steeley & James Steeley, 2000. "Portfolio diversification and filter rule profits," Applied Economics Letters, Taylor & Francis Journals, vol. 7(3), pages 171-175.
  • Handle: RePEc:taf:apeclt:v:7:y:2000:i:3:p:171-175 DOI: 10.1080/135048500351735

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    References listed on IDEAS

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