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Performance evaluation of dynamic trading strategies in UK stock returns incorporating lagged conditioning information

Listed author(s):
  • Greg Anderson
  • Jonathan Fletcher
  • Andrew Marshall
Registered author(s):

    This paper evaluates the performance of the optimal mean-variance portfolio decision when lagged conditioning information is included in the investment universe. Motivated by the dynamic trading literature, we evaluate the performance of eight conditioned information portfolios against an unconditional portfolio and various benchmark strategies. We find with that including lagged conditioning information into the optimal mean-variance portfolio decision can add economic wealth. A number of the conditioning information variables used are significantly effective at improving the portfolio performance in terms of the Sharpe [1966. Mutual fund performance. Journal of Business 39, no. 2: 119-38] ratio, certainty equivalent return, and Jensen [1968. The performance of mutual funds in the period 1945-1964. Journal of Finance 23, no.2: 389-416] performance. We find that the lagged market excess returns instrument has the greatest impact on the portfolio decision.

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    Article provided by Taylor & Francis Journals in its journal The European Journal of Finance.

    Volume (Year): 17 (2011)
    Issue (Month): 1 ()
    Pages: 67-82

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    Handle: RePEc:taf:eurjfi:v:17:y:2011:i:1:p:67-82
    DOI: 10.1080/13518471003638641
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