Multiple discriminant analysis can be used to extract and utilize the information contained in the shape of the yield curve. Using this information, combined with economic variables such as the unemployment and inflation rates, the MDA model classified months in the 1966 - 87 period as either "bear" or "bull" months. A portfolio based on the model's predictions turned in a performance superior to that of a buy-and-hold strategy. This suggests that MDA can enhance the returns of investment portfolios.
Read the Complete Article in Financial Analysts Journal
Financial Analysts Journal
CFA Institute Member ContentPublisher Information
Association for Investment Management and Research
4 pages doi.org/10.2469/faj.v50.n3.57ISSN/ISBN: 0015-198X
We're using cookies, but you can turn them off in Privacy Settings. Otherwise, you are agreeing to our use of cookies. Learn more in our Privacy Policy.
Privacy Settings
Functional cookies, which are necessary for basic site functionality like keeping you logged in, are always enabled.