FIRN Virtual Seminar Series - Redouane Elkamhi, University of Toronto

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FIRN Virtual Seminar

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Working with the large FIRN member institutions we have developed a virtual seminar series where all FIRN members can participate.  The seminars will be via zoom and will be about an hour long, comprising presentation followed by moderated Q&A.   

In collaboration with UTS, FIRN  invites you to a virtual seminar presented by  Redouane Elkamhi, University of Toronto

Title: The Jury is Still Out On the Performance of Naïve Diversification (1/N rule)

Abstract: DeMiguel et al. (2009b) made a compelling case that estimation error dwarfs any diversification benefits of mean-variance portfolios, making the naïve diversification (1/N) a dominating strategy. In this paper, we show that the jury is still out on the relative performance of 1/N. We evaluate risk-based allocations across fifteen empirical datasets and show that they outperform out-of-sample the 1/N rule in terms of Sharpe ratio, certainty-equivalent returns and turnover. Applying clustering further enhances their performance. We present simulation exercises to illustrate the source of the outperformance of risk-based diversification and show that clustering can uncover the risk factors driving asset returns.

Moderated by: Vitali Alexeev, University of Technology Sydney

All FIRN members are welcome to this event.   Please register your interest and you will be sent an email the day before with the Zoom code.

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