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 | |
Autori: | ||
Data di pubblicazione: | 2013 | |
Rivista: | ||
Digital Object Identifier (DOI): | http://dx.doi.org/10.1504/IJCEE.2013.056268 | |
Handle: | http://hdl.handle.net/11384/6484 | |
Appare nelle tipologie: | 1.1 Articolo in rivista |