Problema portfolio manager intends to launch a strategy, Ask an Expert

Engineering

Problem

A portfolio manager intends to launch a strategy that targets an annualized SR of 2. Bets have a precision rate of 60%, with weekly frequency. The exit conditions are 2% for profit-taking, and -2% for stop-loss.

(a) Is this strategy viable?

(b) Ceteris paribus, what is the required precision rate that would make the strategy profitable?

(d) For what profit-taking threshold is the target achievable?

(e) What would be an alternative stop-loss?

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Category:- Other Engineering
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