Despite their impressive market success, investment certificates' benefits are puzzling from both a theoretical and an empirical viewpoint. Previous research analyzed portfoliotheoretical issues, mispricing patterns, and counterparty risk. This work highlights the impact of taxation, which has...

The often reported empirical success of trend-following technical timing strategies remains to be puzzling. In previous academic research, many authors admit some prediction power but struggle to substantiate their findings by referring vaguely to insufficient market effciency or unknown hidden...

The often reported empirical success of trend-following technical timing strategies remains to be puzzling. In previous academic research, many authors admit some prediction power but struggle to substantiate their findings by referring vaguely to insufficient market effciency or unknown hidden...

The application of a technical trading rule, which just provides long and short signals, requires the investor to decide upon the exposure to stake in each trade. Although this position sizing (or money management) crucially affects the risk and return characteristics, recent academic literature...

The application of a technical trading rule requires investors to determine a position size of the trades selected. In order to find an optimal position size, the Kelly criterion is widely suggested, which bets relative fractions from the remaining trading budget. Therefore, the general impact...

Active investment strategies are a subject of endless debates. Myriads of studies have been conducted to proof performance potential or to reject previous studies due to flaws or misinterpretations. The presentation will address three specific aspects which often are disregarded when performance...