A comprehensive appraisal of style-integration methods

摘要

The paper provides a comprehensive appraisal of style-integration methods in equity index, fixed income, currency, and commodity futures markets. We confront the naive equal-weight integration (EWI) method with a host of 'sophisticated' style-integrations that derive the style exposures using past data according to utility maximization, style rotation, volatility timing, cross-sectional pricing, style momentum or principal components criteria. The analysis, conducted separately per futures market and cross-markets, reveals that the EWI portfolio is unrivalled in terms of risk-adjusted performance while it sustains a relatively low turnover. The findings are robust to analyses that entertain variants of the sophisticated integrations, longer estimation windows, several asset scoring schemes, data snooping tests, sub-periods evaluation and equities in place of futures. (C) 2019 Elsevier B.V. All rights reserved.