Asset Details
- Identifier:
- fut22085-fig-0003
- Description:
- Sharpe ratios of the SP portfolios over various ranking and holding periods. In panel A, we set the holding period (H) to the baseline 1 month and change the ranking periods (R). In panel B, we set the ranking period to the baseline 12 months and change the holding period. The common sample period is October 1994 to May 2018 for the class‐specific futures portfolios and October 1999 to May 2018 for the “everywhere” futures portfolios [Color figure can be viewed at wileyonlinelibrary.com]
- License:
- Rights Managed
- Rights Holder:
- John Wiley & Sons, Inc.
- License Rights Holder:
- © 2020 Wiley Periodicals, Inc.
- Asset Type:
- Image
- Asset Subtype:
- Chart/Graph
- Image Orientation:
- Portrait
- Image Dimensions:
- 900 x 1220
- Image File Size:
- 232 KB
- Creator:
- John Hua Fan, Adrian Fernandez‐Perez, Ana‐Maria Fuertes, Joëlle Miffre
- Credit:
- Fan, J., Fernandez‐Perez, A., Fuertes, A.-M., & Miffre, J. (2020). Speculative pressure. Journal of Futures Markets, 40(4), 575-597. https://doi.org/10.1002/fut.22085.
- Collection:
- Keywords:
- Restrictions:
- Property Release:
- No
- Model Release:
- No
- Purchasable:
- Yes
- Sensitive Materials:
- No
- Article Title:
- Speculative pressure
- Article Authors:
- John Hua Fan, Adrian Fernandez‐Perez, Ana‐Maria Fuertes, Joëlle Miffre
- Article Copyright Year:
- 2020
- Publication Title:
- Journal of Futures Markets
- Publication Volume:
- 40
- Publication Issue:
- 4
- Publication Date:
- 04/01/2020
- DOI:
- https://doi.org/10.1002/fut.22085
Click on image to enlarge
