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Welcome to the 2017 AFS Annual Meeing, being held this year, in conjunction with FPA in Nashville!
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Sunday, October 1 • 11:30am - 12:20pm
D1a Investment Strategies and FOMC Rate Decisions [CFP Fixed Income]

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This paper furthers the research into portfolio allocation decisions around FOMC announcements.  Given publicly available information, such as FOMC rate decisions, is it possible to apply simple trading rules to generate excess returns?   We document the historical returns available to investors employing simple trading rules and optimized portfolio allocation weights for various levels of investor risk tolerance informed by FOMC rate decisions.  If such trading strategies prove profitable, then this information is extremely valuable to individual investors and others who have the flexibility to vary their investment allocations between debt and equity securities across time.

Author(s): Peter M. Basciano, Ph.D., Jim Grayson, Christopher L. Cain, Ph.D.


Peter M. Basciano, Ph.D.

Associate Professor of Finance, Augusta University

Sunday October 1, 2017 11:30am - 12:20pm
Mockingbird 1

Attendees (4)