Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JBIS
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Index Investing
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Index Investing

The Journal of Index Investing

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JBIS
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Using Index ETFs for Multi-Asset-Class Investing:
Shifting the Efficient Frontier Up

Pankaj Agrrawal
The Journal of Beta Investment Strategies Fall 2013, 4 (2) 83-94; DOI: https://doi.org/10.3905/jii.2013.4.2.083
Pankaj Agrrawal
is an associate professor of finance at the University of Maine in Orono, ME, and founding president of Cloud Epsilon LLC.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: pankaj.agrrawal@maine.edu
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

This article provides evidence and analysis to show that a MAC (multi-asset-class) diversified portfolio performed well in mean–variance space and under varying market conditions, including the very adverse 2008 market crash. The portfolio also delivered during the two bull phases in the full period over which asset history existed. The construction of the covariance matrix for the efficient frontiers was independent of any return estimates or dynamic volatility-switching mechanisms. To abstract from hindsight bias, a 1/N equal-weighted portfolio was constructed and tested, consistent with some literature—it may still be the best alternative. In any case, the minimum-variance portfolios and the 1/N portfolio far exceeded the Sharpe ratio of the capitalization-weighted Russell 1000 equity index. The efficiency gains are potentially attributed to a lower overlap of the return-generating vectors, something that is not possible, to that extent, in an all-equity portfolio, irrespective of the extent of diversification in the non-negative space. Toward that, a scalar construct of overall dependencies called generalized variance is used as a measure of the overall spread within the covariance matrix. Two actual efficient frontiers are built with return data over the full length of the study and are tested for portfolio efficiencies. Finally, with the objective of making such alternate asset and risk-allocation processes available to a wider set of investors, the portfolio components chosen to represent the low-correlation asset classes were among the most liquid index ETFs available on U.S. exchanges.

TOPICS: Exchange-traded funds and applications, portfolio construction, financial crises and financial market history

  • © 2013 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Index Investing: 4 (2)
The Journal of Beta Investment Strategies
Vol. 4, Issue 2
Fall 2013
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Index Investing.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Using Index ETFs for Multi-Asset-Class Investing: Shifting the Efficient Frontier Up
(Your Name) has sent you a message from The Journal of Index Investing
(Your Name) thought you would like to see the The Journal of Index Investing web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Using Index ETFs for Multi-Asset-Class Investing:
Shifting the Efficient Frontier Up
Pankaj Agrrawal
The Journal of Beta Investment Strategies Aug 2013, 4 (2) 83-94; DOI: 10.3905/jii.2013.4.2.083

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Using Index ETFs for Multi-Asset-Class Investing:
Shifting the Efficient Frontier Up
Pankaj Agrrawal
The Journal of Beta Investment Strategies Aug 2013, 4 (2) 83-94; DOI: 10.3905/jii.2013.4.2.083
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • LITERATURE AND DATA
    • GENERALIZED VARIANCE OF A MAC PORTFOLIO VERSUS AN ALL-EQUITY PORTFOLIO
    • MVO EFFICIENT FRONTIERS OF THE MAC DIVERSIFIED AND THE ALL-EQUITY PORTFOLIO
    • PERFORMANCE OF TWO MAC PORTFOLIOS VERSUS THE RUSSELL 1000
    • FURTHER RESEARCH
    • CONCLUSION
    • APPENDIX A
    • APPENDIX B
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • The Global Market Portfolio
  • Seasonality in Stock and Bond ETFs (2001--2014): The Months Are Getting Mixed Up but Santa Delivers on Time
  • An Intertemporal Study of ETF Liquidity * and Underlying Factor Transition, 2009-2014
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 2154-7238 | E-ISSN: 2374-135X

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies