Routinely, practitioners and academics alike propose the use of trading strategies with an alleged improvement on the risk-return relation, typically entailing a considerably higher return for the given level of risk. A very popular example is "A quantitative approach to tactical asset allocation" by the fund manager M. Faber, a real hit in the SSRN online library. Is this paper a counterexample to market efficiency? We reject this conclusion, showing that a lot of caution should be used in this field, and we indicate a series of bootstrapping experiments which can be easily implemented to evaluate the performance of trading strategies.
|Titolo:||A Quantitative Approach to Faber's Tactical Asset Allocation|
|Data di pubblicazione:||2013|
|Digital Object Identifier (DOI):||http://dx.doi.org/10.1504/IJCEE.2013.056268|
|Appare nelle tipologie:||1.1 Articolo in rivista|