An examination of the benefits of dynamic trading strategies in U.K. closed-end funds

Jonathan Fletcher and Devraj Basu

International Review of Financial Analysis, 2016, vol. 47, issue C, 109-118

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.

Keywords: Mean–variance analysis; Dynamic trading strategies; Closed-end funds (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:47:y:2016:i:c:p:109-118

DOI: 10.1016/j.irfa.2016.04.012

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