Logo
Home Study Material Contact Search
AI Chat FREE
  1. business
  2. finance
  3. you have backtested the following strategies. base

You have backtested the following strategies. Based on the performance evaluation, which of these strategies...

50.1K

Verified Solution

Question

Finance

image

You have backtested the following strategies. Based on the performance evaluation, which of these strategies would you recommend to an institutional investor? AR(1)-Long/Short AR(1)-Long Only Buy-and-Hold Average 0.098 0.070 0.043 Volatility 0.210 0.141 0.212 Sharpe 0.464 0.497 0.203 Max 0.202 0.156 0.170 Min -0.170 -0.122 -0.202 Cumulative 0.927 0.688 0.194 Drawdown 0.279 0.195 0.394 Duration 91 86 93 Profit/Loss 1.346 1.221 0.871 Win Rate 0.500 0.349 0.557 Expectation 0.173 -0.225 0.041 Select one: O a. Buy-and-Hold. O b. A portfolio of AR(1)-Long/Short and AR(1)-Long Only. This is likely to provide a cumulative return between 0.688-0.927 but also a decreased drawdown between 0.195-0.279. Oc. AR(1)-Long Only. O d. AR(1)-Long/Short

Answer & Explanation Solved by verified expert
Get Answers to Unlimited Questions

Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!

Membership Benefits:
  • Unlimited Question Access with detailed Answers
  • Zin AI - 3 Million Words
  • 10 Dall-E 3 Images
  • 20 Plot Generations
  • Conversation with Dialogue Memory
  • No Ads, Ever!
  • Access to Our Best AI Platform: Zin AI - Your personal assistant for all your inquiries!
Become a Member

Other questions asked by students

Q

How would you expect the rates of exocytosis and pinocytosis to differ between cells that are...

Biology
Q

Of all cities in the United States, Amherst, New York, has the fewest number of days...

Basic Math
Q

x'=y-x+(x^3)/7 y' =-x Lyapunov function Ax^2+By^2 for A,B constant. Show stability & define circle for stability area if attraction.

Advance Math
Q

10 Which of the following statements is true about the set of real numbers described...

Calculus
Q

On January 1, 2021, Universe of Fun issues $720,000, 9% bonds that mature in 15...

Accounting
Q

Martin Family Inn is a bed and breakfast establishment in a converted 100-year-old mansion The...

Accounting
Q

Consider the following statements about budgetary slack: I. Managers build slack into a budget so...

Accounting
Q

5. John Dow has constructed the incomplete time-phased MPS record shown. On hand Q=130 Suppose...

Accounting
Q

1.A truck cost $60,000 when purchased and has a $60,000 balance in the accumulated depreciation...

Accounting
Q

[The following information applies to the questions displayed below.] Colton Enterprises experienced the following events...

Accounting
Q

Q1. CAPM test [65 pts] This question asks you to test CAPM by looking at...

Finance
Q

Discuss the challenges and limitations associated with the application of GAAP. Consider issues such as...

Accounting