Hubert Dichtl

dichtl research & consulting GmbH

Managing Director

Am Bahnhof 7

65812 Bad Soden am Taunus

Germany

http://www.dichtl-research-consulting.de

University of Hamburg

Research Affiliate

Moorweidenstr. 18

Hamburg, 20148

Germany

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 9,704

SSRN RANKINGS

Top 9,704

in Total Papers Downloads

6,908

SSRN CITATIONS
Rank 31,883

SSRN RANKINGS

Top 31,883

in Total Papers Citations

19

CROSSREF CITATIONS

7

Scholarly Papers (15)

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, Robeco Quantitative Investments, Invesco and Allianz Global Investors
Downloads 1,374 (19,918)
Citation 8

Abstract:

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

2.

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 BlackRock, Inc - London
Downloads 839 (40,562)

Abstract:

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

3.

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 601 (62,870)
Citation 4

Abstract:

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rebalancing, stock-bond portfolio, bootstrap, statistical inference

4.

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 552 (69,963)

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

5.

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 467 (85,935)
Citation 4

Abstract:

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

6.

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 456 (88,339)
Citation 2

Abstract:

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

7.

Factor-Based Allocation: Is There a Superior Strategy?

Number of pages: 49 Posted: 24 Apr 2019
dichtl research & consulting GmbH, University of Hamburg and BlackRock, Inc - London
Downloads 429 (94,797)

Abstract:

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factor-based allocation, multiple testing

8.

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, Washington University in St. Louis - John M. Olin Business School and BlackRock, Inc - London
Downloads 427 (95,327)
Citation 3

Abstract:

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Equity risk premium prediction, data snooping bias

9.

Forecasting Stock Market Crashes via Machine Learning

Number of pages: 61 Posted: 11 May 2021 Last Revised: 18 May 2022
Hubert Dichtl, Wolfgang Drobetz and Tizian Otto
dichtl research & consulting GmbH, University of Hamburg and University of Hamburg
Downloads 420 (97,159)

Abstract:

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extreme event prediction, stock market crashes, machine learning, active trading strategy

10.

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 356 (117,257)
Citation 4

Abstract:

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Portfolio insurance strategies, Omega ratio, bootstrap simulation, Monte Carlo 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 333 (126,166)
Citation 2

Abstract:

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

12.

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 330 (127,426)
Citation 1

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

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 253 (167,406)

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 71 (438,737)
Citation 1

Abstract:

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

15.

Active Factor Completion Strategies

Journal of Portfolio Management, 2021 Quantitative Special Issue, Vol. 47(2), pp. 9-37
Posted: 16 Apr 2019 Last Revised: 08 Feb 2022
dichtl research & consulting GmbH, University of Hamburg, Robeco Quantitative Investments and Invesco

Abstract:

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Diversification, Risk Parity, Factor Completion, Multi-Asset Multi-Factor Investing, Factor-based Models, Portfolio Management/Multi-Asset Allocation, Style Investing