An Examination of Dynamic Trading Stategies in UK and US Stock Returns.

This paper examines the performance benefits of using conditioning information in mean-variance strategies in UK and US stock returns. The paper finds that after adjusting for trading costs, there are no significant performance benefits in using conditioning information in mean-variance strategies. This result stems from the high turnover that is required to implement dynamic trading strategies. The paper does find that after adjusting for costs, that the unconditional approach of significantly outperforms alternative approaches of using conditioning information in mean-variance strategies in UK stock returns. [ABSTRACT FROM AUTHOR]