Date of Award
Bachelor of Arts
This study examines the use of four major equity sell disciplines across the equity style box. Specifically, large-cap and small-cap securities are tested to see which of the four sell disciplines consistently produces the best portfolio returns. Data from the Plan Sponsor Network (PSN) are used to calculate each portfolio’s benchmark-adjusted return (BAR), information ratio, and Sharpe ratio. These ratios are used to evaluate sell discipline strategy based on each portfolio’s market capitalization and style focus. Three regressions are run for each BAR, information ratio and Sharpe ratio. The analysis is repeated for all four corners of the style box. The results show that there is not a specific sell discipline criterion that consistently produces the best portfolio performance. The majority of the regression results were not significant due the fact that the calculated p-value does not meet the minimum required significance level of 10%.
Krisch, Robert S., "Equity Sell Disciplines across the Style Box" (2017). Accounting. 19.