RT Journal Article
SR Electronic
T1 Eta<sup>®</sup> Analysis of Portfolios:<br/>
               <em>The Economy Matters</em>
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 72
OP 84
DO 10.3905/jwm.2012.15.2.072
VO 15
IS 2
A1 James Chong
A1 William P. Jennings
A1 G. Michael Phillips
YR 2012
UL https://pm-research.com/content/15/2/72.abstract
AB The authors introduce a macroeconomic factor model, the Eta model, and its various applications. The underlying message regarding the Eta model, be it for replication, wealth maximization, or wealth preservation, is that “the economy matters.” The core feature of the Eta model is its replication methodology, from which portfolios could be customized to fit the risk–reward preferences of investors with respect to the economy. They then evaluate the portfolios against the Dimensional Fund Advisors Core Equity 1 Portfolio, which adopts the methodology promoted by the Fama–French three-factor model.TOPICS: Factor-based models, portfolio construction, performance measurement