![]() When a 10% loss was exceeded the portfolio was sold and invested in long term US government bonds.Ĭash would be moved back into the stock market once the 10% fall in the stock market was recovered (the 10% stop-loss was recovered). The strategy used a simple 10% stop loss rule. ![]() The paper looked at the application of a simple stop-loss strategy applied to an arbitrary portfolio strategy (for example buying the index) in the US over the 54 year period from January 1950 to December 2004. The first research paper When Do Stop-Loss Rules Stop Losses? and was published in May 2008 by Kathryn M. ![]() Research study 1 - When Do Stop-Loss Rules Stop Losses? I hated stop-losses! Mainly because some limited testing I did found that a stop-loss strategy lead to lower returns even though it did reduce large losses.īut you know here at Quant Investing we look at investment research all the time and I found three interesting papers that tested stop-loss strategies with results that changed my view completely.īut before we get to HOW and WHAT stop loss you can use to increase your returns first the research studies. ![]()
0 Comments
Leave a Reply. |