文章基本信息

标题：Predicting Time-Lag Stock Return Using Tactical Asset Allocation Trading Strategies Across Global Stock Indices
本地全文：下载
作者：Fahim Afzal ; Pan Haiying ; Farman Afzal 等
期刊名称：International Journal of Financial Research
印刷版ISSN：1923-4023
电子版ISSN：1923-4031
出版年度：2019
卷号：11
期号：1
页码：115-122
DOI：10.5430/ijfr.v11n1p115
出版社：Sciedu Press
摘要：This paper investigates the effectiveness of different tactical asset allocation trading strategies on global stock market indices in order to better forecast the returns. It has been revealed that timing model strategies are appeared to be the best performing one than the passive buy and hold strategy. Results show that the simulated moving average is the best strategy in order to generate buy and sell signals to minimize the investor’s risk and maximize the return of the portfolio. It has been recommended that investors who are looking to minimize the risk of their portfolio and decrease the drawdown can use the proposed timing model strategy to achieve a balanced portfolio in the future.
关键词：stock return; market timing model; buy and hold strategy; trading strategies