IDEAS home Printed from https://ideas.repec.org/p/vuw/vuwecf/33497.html

The Zero Capital Approach to Portfolio Enhancement and Overlay Management

Author

Listed:
  • Bowden, Roger

Abstract

Both active and passive portfolio enhancement can be analysed within a zero capital framework, wherein enhancement exposures are reported as an additional or secondary portfolio requiring zero capital. This enables an identification of the economic value added by the enhancement, using two complementary approaches. The first is based on traditional beta analysis which is useful in identifying the direction and magnitude of exposures. The second is non parametric in nature and plots ordered mean difference schedules for the enhancement against the base portfolio. This enables risk profiling where the manager can match the likely range of his or her own risk preferences again the empirical history of the relationship, so that explicit risk premiums do not have to be utilised. The empirical illustration exhibits asymmetries in the effectiveness of currency overlay.

Suggested Citation

  • Bowden, Roger, 2003. "The Zero Capital Approach to Portfolio Enhancement and Overlay Management," Working Paper Series 33497, Victoria University of Wellington, School of Economics and Finance.
    • Handle: RePEc:vuw:vuwecf:33497
    as

    Download full text from publisher

    File URL: https://ir.wgtn.ac.nz/handle/123456789/33497
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vuw:vuwecf:33497. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Library Technology Services (email available below). General contact details of provider: https://edirc.repec.org/data/egvuwnz.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.