Zeitpunktsignale zum aktiven Portfoliomanagement
[Time-Point-Signals for Active Portfolio Management]
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.
|Date of creation:||Jun 2012|
|Date of revision:|
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- Donald W.K. Andrews, 1990.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Cowles Foundation Discussion Papers
943, Cowles Foundation for Research in Economics, Yale University.
- 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.
- Andrews, Donald W K & Ploberger, Werner, 1994.
"Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative,"
Econometric Society, vol. 62(6), pages 1383-1414, November.
- Tom Doan, . "APGRADIENTTEST: RATS procedure to perform Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood," Statistical Software Components RTS00007, Boston College Department of Economics.
- Tom Doan, . "APBREAKTEST: RATS procedure to implement Andrews-Ploberger Structural Break Test," Statistical Software Components RTS00006, Boston College Department of Economics.
- Tom Doan, . "REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values," Statistical Software Components RTS00176, Boston College Department of Economics.
- Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
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