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The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by Strathclyde researchers, including by researchers from the Physical Activity for Health Group based within the School of Psychological Sciences & Health. Research here seeks to better understand how and why physical activity improves health, gain a better understanding of the amount, intensity, and type of physical activity needed for health benefits, and evaluate the effect of interventions to promote physical activity.

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Performance evaluation of dynamic trading strategies in UK stock returns incorporating lagged conditioning information

Anderson, G. and Fletcher, Jonathan and Marshall, A.P. (2011) Performance evaluation of dynamic trading strategies in UK stock returns incorporating lagged conditioning information. European Journal of Finance, 17 (1). pp. 67-82.

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Abstract

This paper evaluates the performance of the optimal mean-variance portfolio decision when lagged conditioning information is included in the investment universe. Motivated by the dynamic trading literature we evaluate the performance of eight conditioned information portfolios against an unconditional portfolio and various benchmark strategies. We find with that including lagged conditioning information into the optimal mean-variance portfolio decision can add economic wealth. A number of the conditioning information variables used are significantly effective at improving the portfolio performance in terms of the Sharpe (1966) ratio, Certainty Equivalent Return, and Jensen (1968) performance. We find that the lagged market excess returns instrument has the greatest impact on the portfolio decision.