| Authors |
|
| Publication date |
2010
|
| Journal |
Journal of Derivatives and Hedge Funds
|
| Volume | Issue number |
16 | 1
|
| Pages (from-to) |
1-8
|
| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
|
| Abstract |
In this article we construct and investigate the performance of elementary trading strategies that allow an investor to time between equities and commodities. Our strategies appear to capture time-varying risk premiums in the equity and commodity markets, enabling them to successfully time the market, outperforming the benchmark index as well as buy-and-hold and trend-based strategies.
|
| Document type |
Article
|
| Language |
English
|
| Published at |
https://doi.org/10.1057/jdhf.2010.4
|
|
Permalink to this page
|