Portfolio insurance strategies are used on both the institutional and the retail side of the
asset management industry. While standard utility theory struggles to provide an explanation, …

This study compares the performance of different rebalancing strategies under realistic market
conditions by reporting statistical significance levels. Our analysis is based on historical …

Determining whether investment strategies exist that provide higher (risk‐adjusted) returns
than buying and holding the S&P 500 stock market index is not only highly relevant for …

Aiming to optimally harvest global equity factor premiums, we investigated the benefits of
parametric portfolio policies for timing factors conditioned on time-series predictors and tilting …

We compare the risk-adjusted performance of stock–bond portfolios between rebalancing
and buy-and-hold across different asset allocations by reporting statistical significance levels. …

As some recent studies have shown empirically, future gold price fluctuations are especially
difficult to forecast. Against this background, this study evaluates the forecasting power of …

This study examines whether the “Sell in May and Go Away” (or Halloween) trading strategy
still offers an opportunity to earn abnormal returns. In contrast to prior studies, we consider …

The old and simple investment strategy “Sell in May and Go Away” (also referred to as the “Halloween
effect”) enjoys an unbroken popularity. Recent studies suggest that the Halloween …

Dollar-cost averaging requires investing equal amounts of an investment sum step-by-step
in regular time intervals. Previous studies that assume expected utility investors were unable …

Factor‐based allocation embraces the idea of factors, as opposed to asset classes, as the
ultimate building blocks of investment portfolios. We examine whether there is a superior way …