Eta ® Analysis of Portfolios: The Economy Matters

The authors introduce a macroeconomic factor model, Eta model, and its various applications. The underlying sage regarding the Eta model, be it for replication, maximization, or wealth preservation, is that "the matters." The core feature of the Eta model is its tion methodology, from whic...

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Bibliographic Details
Published in:The journal of wealth management 2012-10, Vol.15 (2), p.72-84
Main Authors: Chong, James, Jennings, William P., Phillips, G. Michael
Format: Article
Language:English
Subjects:
Cloning
Construction spending
Consumer Price Index
Economic growth
Economic models
Equity
GDP
GNP
Gross Domestic Product
Gross National Product
Housing starts
Industrial production
Interest rates
Macroeconomics
Portfolio management
Portfolio performance
Risk premiums
Stock exchanges
Studies
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Summary:The authors introduce a macroeconomic factor model, Eta model, and its various applications. The underlying sage regarding the Eta model, be it for replication, maximization, or wealth preservation, is that "the matters." The core feature of the Eta model is its tion methodology, from which portfolios could be tomized to fit the risk-reward preferences of with respect to the economy. They then evaluate the folios against the Dimensional Fund Advisors Core Equity Portfolio, which adopts the methodology promoted the Fama-French three-factor model. [PUBLICATION ABSTRACT]
ISSN:1534-7524
2374-1368
DOI:10.3905/jwm.2012.15.2.072