Buy and Hold Versus Timing Strategies: <i>The Winner Is …</i>

Feldman, Todd; Jung, Alan; Klein, Jim

doi:10.3905/jpm.2015.42.1.110

Cited by 8 publications

(4 citation statements)

References 6 publications

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“…One reason why very different coupons can make bonds look different is that they affect the sensitivity of duration to changes in interest rates. In turn, bonds issued with long maturities are often acquired by buy-and-hold investors (see Feldman et al (2015)). As a result, these bonds remain structurally different than shorter bonds, even when their remaining maturity becomes shorter.…”

Section: Introductionmentioning

confidence: 99%

The benefits of reducing holdout risk: evidence from the Euro CAC experiment, 2013–2018

Picarelli¹,

Erce²,

Jiang³

2019

Capital Markets Law Journal

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The introduction of collective action clauses in advanced economies' sovereign bonds is an understudied phenomenon. An important concern is whether these clauses produce segmentation, pushing apart the price of those bonds issued with and without collective action clauses (CACs). This paper uses the introduction in 2013 of mandatory two-limb CACs in euro area sovereign bonds issued under domestic law to evaluate the price impact of these provisions. In the euro area, bonds with CACs trade at a small premium. On average for those bonds, yields were up to six basis points lower. This average, however, masks heterogeneity. While Germany and Netherlands have not seen a sustained reduction in borrowing costs, in Italy and Spain the effect has been large (between five and ten basis points). These findings support the argument that the introduction of euro CACs in domestic law bonds helped investors reassess the risks associated with those instruments in both countries.

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Section: Introductionmentioning

confidence: 99%

The benefits of reducing holdout risk: evidence from the Euro CAC experiment, 2013–2018

Picarelli¹,

Erce²,

Jiang³

2019

Capital Markets Law Journal

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“…Como resultado, esta técnica aumenta la correlación entre las previsiones fuera de muestra y las realizadas y a su vez disminuye la desviación estándar del error de pronóstico para las rentabilidades a diez años del S&P 500 respecto al CAPE. Feldman et al (2015) propone tres estrategias de pronóstico del mercado y las comparan con otras como la media móvil simple de doscientos días del S&P 500 y con el CAPE, donde comprueban que el CAPE tiene un rendimiento menor a las estrategias propuestas, así como a la estrategia del S&P 500. Bunn et al (2014) ponen a prueba el CAPE en la detección de sectores sobre o infravalorados en la economía estadounidense, donde tienen en cuenta los reportes del CAPE de forma sectorial desde inicios de los años ochenta y con esto modifican el indicador que cambia sus señales de valoración originales en una estrategia de rotación sectorial donde evidencian una mejora en la rentabilidad asociada a dicha rotación basada en el CAPE, la cual se ha extendido a los sectores europeos.…”

Section: Referentes Teóricosunclassified

Análisis del índice precio-beneficio ajustado cíclicamente en portafolios del mercado accionario brasileño, 2011-2019

Contreras¹,

Amado²,

Santamaria³

et al. 2022

Semest. Econ.

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Este artículo evalúa las bondades del indicador precio-beneficio ajustado cíclicamente para la construcción de portafolios de inversión en el mercado accionario brasileño para el periodo 2011-2019. Para cumplir este objetivo se tomó información del valor de las acciones de treinta y tres empresas que cotizan en la bolsa de valores de Brasil y se les aplica el índice para la construcción de portafolios eficientes. El comportamiento de los activos financieros que componen dichos portafolios se comparó con el índice Bovespa, y luego se procedió a calcular el valor del riesgo, con el fin de generar portafolios de inversión con un riesgo equivalente al Bovespa. A pesar de que existen estudios de aplicación de este indicador en diversos mercados, son pocos los que se enfocan en el precio-beneficio ajustado cíclicamente para la construcción de portafolios de inversión y no se evidencia la existencia de análisis de este tipo enfocados en el mercado latinoamericano, de aquí la importancia de este trabajo. Como resultado, se observó que el rendimiento de los portafolios construidos con esta metodología supera al Bovespa en seis de los nueve años analizados, además, entre 2011 y 2019 los portafolios construidos generaron un rendimiento 3,27 veces superior al Bovespa.

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“…The literature on timing continues to grow with new and more complex trading rules based on fundamentals (Feldman, Jung, & Klein, 2015), macroeconomic variables (Breen, Glosten, &Jagamathan, 1989 andGuido, Peral, &Walsh, 2011), nonfinancial indicators (Krueger & Kennedy, 1990), mean reversion (Campbell, Andrew, & McKinley, 1999), and technical indicators (Lo, Mamaysky, & Wang, 2000). Critics of these studies point to problems of transaction costs, tax effects, and data mining (Aronson, 2006;Asness, 2003;and Sullivan, Timmerman, & White, 1999).…”

Section: Literature Reviewmentioning

confidence: 99%

Active asset allocation for retirement funds using the fed model

Clinebell,

Kahl,

Stevens

2017

FSR

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Active asset allocation, also known as market timing, is controversial but potentially effective for individual investors and financial advisors. Many studies support market timing based on the relationship between the aggregate earnings yield on equities and the intermediate Treasury bond yield, known as the Fed model. Nevertheless, skeptics point to common flaws in these studies and challenge the validity of the Fed model. In general, returns from timing models are difficult to adjust for transaction costs and tax effects from short term gains and losses. In almost all cases, there is data mining from reporting results over the same period used to build the timing model. Our study addresses these concerns directly. We control the transaction costs and tax effects by focusing on funds available for retirement accounts within a Vanguard fund family allowing costless monthly transfers. We use a “risk on” or “risk off” approach rather than experiment with arbitrary cutoff rules for switching funds. We first test for the time series properties of the Fed model to build a prediction model and then apply it over a recent five-year holdout of period. Our findings show that the switching portfolio offers attractive performance compared to either of the Vanguard funds, especially with respect to enhancing upside to downside risk ratios.

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Buy and Hold Versus Timing Strategies: The Winner Is …

Abstract: This work is preliminary and cannot be quoted without author's permission, which can be sought at Siegel@wharton.upenn.edu.

Cited by 8 publications

References 6 publications

The benefits of reducing holdout risk: evidence from the Euro CAC experiment, 2013–2018

The benefits of reducing holdout risk: evidence from the Euro CAC experiment, 2013–2018

Análisis del índice precio-beneficio ajustado cíclicamente en portafolios del mercado accionario brasileño, 2011-2019

Active asset allocation for retirement funds using the fed model

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