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Quantitative Investing: Strategies to Exploit Stock Market Anomalies for All Investors by Fred Piard

Author:Fred Piard [Piard, Fred] , Date: November 15, 2021 ,Views: 172

Quantitative Investing: Strategies to Exploit Stock Market Anomalies for All Investors by Fred Piard

Author:Fred Piard [Piard, Fred]
Language: eng
Format: epub
Tags: Business & Economics, Investments & Securities, General
ISBN: 9780857193490
Google: 6l3lAgAAQBAJ
Publisher: Harriman House Limited
Published: 2013-08-26T00:08:53.449524+00:00


Chart 4.4: cumulative drawdown of DJIA from May to October, 1950-2011

A Two-Season Strategy

Jacobsen and Zhang have shown that all countries are not created equal for seasonal patterns. In fact 26 countries out of 108 have an inverted pattern and show a better return in Summer. Here is the list of these countries by region of the world.

Europe: Finland, Cyprus, Bulgaria, Slovenia, Macedonia, Montenegro.

South and Central America: Chile, Peru, El Salvador, Ecuador, Paraguay, Venezuela, Barbados.

Africa: Botswana, Tanzania, Zambia, Mauritius.

Asia: Georgia, Bangladesh, Sri Lanka, Mongolia, Nepal.

Middle-East: Kuwait, Lebanon, Iran, Syria.



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Quantitative Investing: Strategies to Exploit Stock Market Anomalies for All Investors by Fred Piard.epub


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