Frequency-domain information for active global equity portfolio management

Abstract

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
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Gonçalo Faria (Supervisor) & Fabio Verona (Co-Supervisor)