Showing 1 - 6 of 6
In this paper we compare a variety of technical trading rules in the context of investing in the S&P500 index. These rules are increasingly popular both among retail investors and CTAs and similar investment funds. We find that a range of fairly simple rules, including the popular 200-day moving...
Persistent link: https://www.econbiz.de/10013102358
We show that combining momentum and trend following strategies for individual commodity futures can lead to portfolios which offer attractive risk adjusted returns which are superior to simple momentum strategies; when we expose these returns to a wide array of sources of systematic risk we find...
Persistent link: https://www.econbiz.de/10013090491
We discuss the nature and importance of the concept of Sequence Risk, the risk that a bad return occurs at a particularly unfortunate time, such as around the point of maximum accumulation or the start of decumulation. This is especially relevant in the context of retirement savings, where the...
Persistent link: https://www.econbiz.de/10012844846
This paper utilises monthly data from the U.K. stock market to examine possible regularities in variables (trading probability and fractional turnover) which may be (or may be hypothesised to be) associated with liquidity risk. Modelling is based upon extensions to the CAPM involving variables...
Persistent link: https://www.econbiz.de/10012720145
This paper proposes a new method of assessing the sustainability of withdrawals from a given pot of wealth in retirement or indeed in any similar context such as intergenerational family wealth or charity/endowment spending. We use the recent concept of Perfect Withdrawal Rates to assess...
Persistent link: https://www.econbiz.de/10013290111
In this paper we consider the choice that retirees might make between drawing down from their pension pot and the purchase of an annuity. A key finding of our research that in a world of ‘loss aversion’, across a very wide range of assumptions, there is almost always a ‘crossover point’...
Persistent link: https://www.econbiz.de/10014350965