In this paper we assess the benefits of using frequency-domain information in the context of an actively managed global equity portfolio. It has been shown in the literature (Faria and Verona, 2020) that using frequency-domain information for an equity-bond actively managed portfolio improves its performance by several measures. We built up in this finding and, applying a similar methodology, we assess if there are also possible gains from the use of frequency-domain information in the context of an actively managed global equity portfolio. We conclude that it is not unequivocal that the use of frequency-domain information in active portfolio management is beneficial and that following an active portfolio management strategy is more difficult the higher the correlation between the portfolio’s assets is.
|Date of Award||15 Jul 2021|
- Universidade Católica Portuguesa
|Supervisor||Gonçalo Faria (Supervisor) & Fabio Verona (Co-Supervisor)|
- Multiresolution analysis
- Global equity portfolios
- Active portfolio management
- Frequency domain