Maximize Market Timing Returns: Implementing Volatility-Weighted Bets

Alpha Beta IR Analytics, Active Portfolio Management Series, 2018

10 Pages Posted: 13 Mar 2019

See all articles by Plamen Patev

Plamen Patev

I Shou University, Department of International Finance; ABIR Analytics

Kaloyan Petkov

D. A. Tsenov Academy of Economics; ABIR Analytics

Date Written: September 24, 2018

Abstract

Market timing is preferred path to alpha because it is very simple to implement even by individual investors. In this paper we apply the Hallerbach (2014) methodology to emerging markets from Asia and Eastern Europe. We find that by using volatility-weighted bets we improve significantly the ex-post Information ratio of the strategy. This approach is even more important in emerging markets, where volatility is much higher than on traditional stock exchanges.In our research we select 15 leading emerging markets around the world. Examining volatility-weighted bets on emerging markets is even more interesting, because of the significantly higher volatility in comparison to developed markets. We develop the strategy on monthly basis in the period January, 2005 – March, 2017.

Keywords: market timing, alpha, active management, volatility

JEL Classification: G11, C22

Suggested Citation

Patev, Plamen and Petkov, Kaloyan and Petkov, Kaloyan, Maximize Market Timing Returns: Implementing Volatility-Weighted Bets (September 24, 2018). Alpha Beta IR Analytics, Active Portfolio Management Series, 2018, Available at SSRN: https://ssrn.com/abstract=3339268 or http://dx.doi.org/10.2139/ssrn.3339268

Plamen Patev

I Shou University, Department of International Finance ( email )

No.1, Sec. 1, Syuecheng Rd., Dashu District,
Kaohsiung, 84001
Taiwan

ABIR Analytics ( email )

Kaloyan Petkov (Contact Author)

D. A. Tsenov Academy of Economics ( email )

2 Em. Chakarov str.
Svishtov, Veliko Tarnovo 5250
Bulgaria

ABIR Analytics ( email )

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
92
Abstract Views
601
Rank
506,276
PlumX Metrics