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

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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

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