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| Rafael B Chaves, Cleiton G Taufemback and Hudson S Torrent |
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| ''Does removing the effect of short-term co-movements improve portfolio performance over monthly horizons? Dow Jones Industrial Average Analysis'' |
| ( 2026, Vol. 46 No.1 ) |
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| Portfolio strategies often seek to reduce exposure to short-term market fluctuations while maintaining robust performance over defined investment horizons. This study proposes a modification to the Markowitz model that filters out short-term co-movements in asset returns, aiming to construct portfolios less sensitive to transient fluctuations. Using historical data from the Dow Jones Industrial Average, we evaluate the performance of the proposed method relative to the traditional Markowitz and Naive models over investment horizons of one, three, and six months. The results indicate that portfolios constructed with the proposed approach generally outperform the benchmark models in terms of returns and exhibit statistically significant improvements in certain periods. |
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| Keywords: Time series, low-pass filter, Markowitz, co-movements, Dow Jones. |
JEL: G1 - General Financial Markets
C5 - Econometric Modeling: General |
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| Manuscript Received : Apr 29 2026 | | Manuscript Accepted : Mar 30 2026 |
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