Portfolio and Security Analysis Commons^™

Down-Side Risk Metrics As Portfolio Diversification Strategies Across The Global Financial Crisis, David E. Allen, Michael Mcaleer, Robert J. Powell, Abhay Kumar Singh

Research outputs 2014 to 2021

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in U.S. dollar terms, on a set of ten market indices representing the major European markets for a nine-year period from the beginning of 2005 to the end of 2013. The sample period, which incorporates the periods of both the Global Financial Crisis (GFC) and the subsequent European Debt Crisis (EDC), is a challenging one for the …