Abstract
ABSTRACT We compare the impact of extreme returns on Swiss and U.S. stock and bond portfolios. We find that Swiss and U.S. equity portoflio returns are greatly impacted by a relatively few large negative and positive returns. We show that the Swiss bond portfolio exhibits very few negative returns and that the magnitude of these returns is small. The impact of extreme returns on the U.S. bond portfolio is greater than for the Swiss bond portfolio, but is still less than that of the equity portfolios. Simulations indicate that trading strategies designed to take advantage of extreme returns require substantial accuracy to succeed. Keywords bond returns, stock returns, extreme returns
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