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- W2130332014 abstract "Monetary policy, as captured by changes in the Fed funds rate (FFR), is a useful signal for investors. I analyze the economic significance of trading strategies based on the “out-of-sample” forecasting power of FFR for excess equity returns. A simple market timing strategy produces an annual Sharpe ratio of 0.55 and a certainty equivalent return (CER) gain of 3.37% per year, whereas a buy-hold strategy has a Sharpe ratio of 0.41. Rotation trading strategies for portfolios sorted on size, book-to-market, and momentum have a Sharpe ratio and CER gain as high as 0.73 and 9.60% per year, respectively. Dynamic strategies for other asset classes also produce economically significant gains. Generally, the strategies based on FFR outperform those associated with alternative predictors." @default.
- W2130332014 created "2016-06-24" @default.
- W2130332014 creator A5048727810 @default.
- W2130332014 date "2012-01-01" @default.
- W2130332014 modified "2023-09-26" @default.
- W2130332014 title "Don't Fight the Fed!" @default.
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- W2130332014 doi "https://doi.org/10.2139/ssrn.2019954" @default.
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