دانلود رایگان مقاله مزایای استراتژی معاملاتی در صندوق سرمایه گذاری محدود

Abstract

We examine the after-cost out-of-sample performance of the unconditional mean–variance (UMV) strategy in the presence of conditioning information (Ferson and Siegel (2001)) using portfolios of U.K. equity closed-end funds. We find that the performance of the UMV strategy significantly improves when using lagged information variables with the highest persistence (first-order autocorrelation) levels and reduces turnover. This strategy is able to outperform alternative dynamic trading strategies and performs well across different subperiods. At low levels of trading costs, the UMV strategy is able to deliver significant value added to investors.

4. Conclusions

We examine whether the choice of the lagged information variables affects the after-cost performance of the UMV strategy in U.K. equity closed-end fund portfolios. There are three main findings in our study. First, we find that the choice of lagged information variables has a significant impact on the after-cost performance of the UMV strategy. The UMV strategy, using the three lagged information variables with the highest persistence levels, significantly outperforms the UMV strategies using all lagged information variables and the three lagged information variables with the highest predictability. The superior performance is driven by lower average turnover and not superior before-cost performance. The UMV strategy is able to significantly outperform after adjusting for trading costs the alternative dynamic trading strategies and the PMV strategy using the lagged information variables with the highest persistence levels. This superior performance is driven by both a lower turnover and a superior before-cost performance. The benefits of the optimal use of return predictability is consistent with Ferson and Siegel (2009); Fletcher (2011); Abhyankar et al. (2012), and Penaranda (2014) among others. However the UMV strategy does not significantly outperform the 1/N strategy. Second, we find that the UMV strategy, using the lagged information variables with the highest persistence levels, have the most consistent subperiod performance across all strategies. The UMV strategy provides particularly good performance in recession states and bearish market states. The UMV strategy is able to significantly outperform the 1/N strategy in bearish market states. The subperiod performance suggests that the optimal use of return predictability delivers good performance in low market states and suggests it provides a hedge against market downturns. This superior performance is driven by both a lower turnover and superior before-cost performance.