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- Title
CAN DUAL BETA FILTERING IMPROVE INVESTOR PERFORMANCE?
- Authors
Chong, James; Pfeiffer, Shaun; Michael Phillips, G.
- Abstract
This study investigates the possibility that more efficient portfolios may be constructed by using the dual-beta model that screens out assets that exhibit more extreme downside risk sensitivity. Three portfolios were constructed, using the criteria of standard CAPM beta, down-market beta, and a combination of up-market and down-market betas. Overall, the standard CAPM beta consistently lags the dual-betas. When compared to the Fama-French three-factor inspired DFEOX, the dual-betas also performed reasonably well, with the ability to contain the downside while participating in the upside.
- Publication
Journal of Personal Finance, 2011, Vol 10, Issue 1, p63
- ISSN
1540-6717
- Publication type
Academic Journal