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EnglishRoutinely, 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: | |
| Abstract: | 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. |
| Handle: | http://hdl.handle.net/11384/6484 |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
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