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- W2276965736 abstract "In order to match the Sharpe ratio of a buy-and-hold strategy in the US equity market, you will need a success ratio of almost 60% in a market-timing strategy, according to this research. What actually drives the risk-adjusted performance of market-timing strategies? This is an important question in the context of the ongoing debate on the performance of active strategies. In this report, Winfried Hallerbach—Senior Quantitative Researcher at Robeco Investment Management in Rotterdam, The Netherlands—explains how he extends existing concepts about active management to market-timing strategies. Hallerbach’s original research, published in The Journal of Portfolio Management’s Summer 2014 issue, offers new insights into what actually drives the risk-adjusted performance of market-timing strategies." @default.
- W2276965736 created "2016-06-24" @default.
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- W2276965736 date "2015-01-31" @default.
- W2276965736 modified "2023-09-25" @default.
- W2276965736 title "Practical Applications of On the Expected Performance of Market Timing Strategies" @default.
- W2276965736 doi "https://doi.org/10.3905/pa.2015.2.3.078" @default.
- W2276965736 hasPublicationYear "2015" @default.
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