Estimating Snooping Bias for a Multi-parameter Strategy
March 14, 2014 - Big Ideas, Momentum Investing, Volatility Effects
A subscriber flagged an apparently very attractive exchange-traded fund (ETF) momentum-volatility-correlation strategy that, as presented, generates a optimal compound annual growth rate of 45.7% with modest maximum drawdown. The strategy chooses from among the following seven ETFs: ProShares Ultra S&P500 (SSO) SPDR EURO STOXX 50 (FEZ) iShares MSCI Emerging Markets (EEM) iShares Latin America 40… Keep Reading