There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. ![]() One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. Hypothetical Performance Disclosure: Hypothetical performance results have many inherent limitations, some of which are described below. Similar to maximum drawdown, it is also helpful to understand the price momentum. It imposes how much loss from the worst decline is recovered by the short-term reversion. Reversal Effect in International Equity ETFsĬountry picking, factor investing, reversal, rotational system, smart betaįactor investing, smart beta, volatility effect, volatility premium The successive recovery after the maximum drawdown is dened as R R(t, T) where t is the time moment at the end of the maximum drawdown formation. Momentum Factor Effect in Country Equity IndexesĬountry picking, factor investing, momentum, rotational system, smart beta Upgrade your subscription to see this strategyĬarry trade, factor investing, forex system, FX anomaly, smart betaįactor investing, smart beta, stock picking, volatility effectįactor investing, forex system, FX anomaly, momentum, smart betaįactor investing, forex system, FX anomaly, smart beta, valueĪrbitrage, equity long short, pairs tradingĮquity long short, factor investing, reversal, smart beta, stock pickingįactor investing, momentum, momentum in stocks, smart beta, stock picking ![]() Momentum, rotational system, sector picking Asset class picking, momentum, trend-followingĪsset class picking, momentum, rotational system Whats interesting is that, even though were buying stocks near their highs, the risk/volatility (as defined by its maximum drawdown) was 16.2 points less than.
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