Industry investing under parametric portfolio policy

• Autor(a) principal: Goldberg, João Victor Possollo Siano
• Data de Publicação: 2021
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10400.14/35816
• topic: Parametric portfolio policy; Industry investing; Sector investing; Asset allocation; Investimento em indústrias; Investimento em setores; Alocação de ativos; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

This dissertation investigates the performance of the Parametric Portfolio Policy in an industry level over the 1971 – 2019 period. I find that investors can take advantage of the Parametric Portfolio Policy strategy in an industry level, with lower cost than direct stock investing due to the increasing amount of industry exchanged traded funds in the market. In all strategies proposed the Naïve Industry + Long-short and Long-only portfolios performed better than the benchmark. However, the out-of-sample portfolio turnover is extremely high compared to the benchmark. I consider three different trading costs to have a more reliable net-of-costs performance. Taking into account different investors’ type, this paper also reports performance data varying the risk aversion coefficient.