Hubert Dichtl

dichtl research & consulting GmbH

Managing Director

Am Bahnhof 7

65812 Bad Soden am Taunus

Germany

http://www.dichtl-rc.de

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 9,961

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Top 9,961

in Total Papers Downloads

5,008

SSRN CITATIONS
Rank 31,034

SSRN RANKINGS

Top 31,034

in Total Papers Citations

17

CROSSREF CITATIONS

6

Scholarly Papers (14)

1.

Optimal Timing and Tilting of Equity Factors

Financial Analysts Journal, 2019, Vol. 75(4), pp. 84-102
Number of pages: 31 Posted: 15 Dec 2018 Last Revised: 23 Oct 2019
dichtl research & consulting GmbH, University of Hamburg, Invesco, Invesco and Allianz Global Investors
Downloads 931 (26,004)
Citation 4

Abstract:

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asset allocation, factor investing, factor timing, factor tilting, parametric portfolio policy

2.

Testing Rebalancing Strategies for Stock-Bond Portfolios Across Different Asset Allocations

Number of pages: 24 Posted: 13 Aug 2014
Hubert Dichtl, Wolfgang Drobetz and Martin Wambach
dichtl research & consulting GmbH, University of Hamburg and University of Hamburg
Downloads 539 (54,421)
Citation 3

Abstract:

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rebalancing, stock-bond portfolio, bootstrap, statistical inference

3.

Testing Rebalancing Strategies for Stock-Bond Portfolios: Where Is the Value Added of Rebalancing?

Midwest Finance Association 2012 Annual Meetings Paper , 2012 European Financial Management Symposium on Asset Management , 2012 K├Âlner Finanzmarktkolloquium on Asset Management
Number of pages: 27 Posted: 15 Sep 2011 Last Revised: 11 Aug 2015
Hubert Dichtl, Wolfgang Drobetz and Martin Wambach
dichtl research & consulting GmbH, University of Hamburg and University of Hamburg
Downloads 433 (71,396)
Citation 4

Abstract:

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rebalancing, bootstrap, performance measurement, statistical inference, stock-bond portfolio

4.

Sell in May and Go Away: Still Good Advice for Investors?

Number of pages: 38 Posted: 21 May 2014
Hubert Dichtl and Wolfgang Drobetz
dichtl research & consulting GmbH and University of Hamburg
Downloads 415 (75,175)
Citation 1

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Sell in May, Halloween effect, bootstrap simulation, statistical inference, investment strategy

5.

Investing in Gold - Market Timing or Buy-and-Hold?

Number of pages: 33 Posted: 17 Jul 2018 Last Revised: 15 Nov 2018
University of Western Australia - Business School, dichtl research & consulting GmbH, University of Hamburg and University of Hamburg
Downloads 392 (80,288)

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gold; market efficiency; investment strategies; monthly seasonalities; fundamental factors; technical indicators; superior predictive ability test

6.

Data Snooping in Equity Premium Prediction

Number of pages: 49 Posted: 22 May 2017 Last Revised: 11 Dec 2019
dichtl research & consulting GmbH, University of Hamburg, University of Notre Dame - Department of Finance and University of Hamburg
Downloads 364 (87,502)
Citation 2

Abstract:

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Equity risk premium prediction, data snooping bias

7.

A Bootstrap-Based Comparison of Portfolio Insurance Strategies

Number of pages: 53 Posted: 06 Oct 2013 Last Revised: 14 Jun 2014
Hubert Dichtl, Wolfgang Drobetz and Martin Wambach
dichtl research & consulting GmbH, University of Hamburg and University of Hamburg
Downloads 316 (102,628)
Citation 5

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Portfolio insurance strategies, Omega ratio, bootstrap simulation, Monte Carlo simulation

8.

Active Factor Completion Strategies

Number of pages: 39 Posted: 16 Apr 2019 Last Revised: 27 Feb 2020
dichtl research & consulting GmbH, University of Hamburg, Invesco and Invesco
Downloads 296 (110,151)
Citation 2

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Diversification, Risk Parity, Factor Completion, Multi-Asset Multi-Factor Investing

9.

Factor-Based Allocation: Is There a Superior Strategy?

Number of pages: 49 Posted: 24 Apr 2019
dichtl research & consulting GmbH, University of Hamburg and University of Hamburg
Downloads 287 (113,797)

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factor-based allocation, multiple testing

10.

Timing the Stock Market: Does it Really Make No Sense?

Number of pages: 47 Posted: 29 Jul 2013 Last Revised: 11 Aug 2015
dichtl research & consulting GmbH, University of Hamburg and Concordia University, Quebec - John Molson School of Business
Downloads 279 (117,242)

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Market timing, expected utility theory, regret theory, anticipated utility theory, cumulative prospect theory, bootstrap simulation

11.

Where is the Value Added of Rebalancing? A Systematic Comparison of Alternative Rebalancing Strategies

Number of pages: 40 Posted: 01 Sep 2012 Last Revised: 11 Aug 2015
Hubert Dichtl, Wolfgang Drobetz and Martin Wambach
dichtl research & consulting GmbH, University of Hamburg and University of Hamburg
Downloads 258 (127,327)
Citation 1

Abstract:

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optimal rebalancing, stock-bond portfolio, bootstrap, statistical inference

12.

Investing In The S&P 500 Index: Can Anything Beat The Buy-And-Hold Strategy?

Number of pages: 61 Posted: 17 Dec 2019
Hubert Dichtl
dichtl research & consulting GmbH
Downloads 237 (138,583)

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S&P 500 index, investment strategies, monthly seasonalities, fundamental factors, technical indicators, market anomalies, behavioral finance, superior predictive ability test

13.

Are Stock Markets Really so Inefficient? The Case of the 'Halloween Indicator'

Finance Research Letters, Forthcoming
Number of pages: 17 Posted: 11 Aug 2013 Last Revised: 12 Dec 2013
Hubert Dichtl and Wolfgang Drobetz
dichtl research & consulting GmbH and University of Hamburg
Downloads 228 (143,893)
Citation 2

Abstract:

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Sell in May, stock market anomaly, bootstrap simulation, statistical inference

14.

Forecasting Excess Returns of the Gold Market: Can We Learn from Stock Market Predictions?

Number of pages: 63 Posted: 05 Aug 2017
Hubert Dichtl
dichtl research & consulting GmbH
Downloads 33 (483,913)

Abstract:

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Gold Excess Return Prediction, Fundamental Factors, Technical Factors, Diffusion Indices, Predictive Regression Models, Restrictions, Business Cycles