出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：This paper provides ample empirical evidence,using US equity and bond indices,why daily stop-loss rules can be considered as viable performance enhancers.While a longer-term stop-loss rule can help investors to avoid market crashes by being out of the market,investors may obviously lose on the up-market days too.Furthermore,a shorter-term stop-loss rule may not miss the good market days by allowing investors to stay for a longer time in the market at the obvious expense of increased risk and higher drawdowns.This paper illustrates how daily stop-loss rules can significantly outperform the buy and hold equity and bond benchmarks,their equally weighted portfolio and the trend following strategy,simple moving average,which is driven from those asset classes – for both long and short positions.The results are robust to a variety of variations on the initial theme and it's shown that performance enhancements can come from a variety of other sources related to a static stop-loss rule.
关键词：stop-loss;exchange traded fund rotation;risk management;simple moving average;bonds & equities
