Open AccessPredicting Time-Lag Stock Return Using Tactical Asset Allocation Trading Strategies Across Global Stock Indices
Author(s) -
Fahim Afzal,
Pan Haiying,
Farman Afzal,
Faisal Ghafoor Bhatti
Publication year - 2019
Publication title -
international journal of financial research
Language(s) - English
Resource type - Journals
eISSN - 1923-4031
pISSN - 1923-4023
DOI - 10.5430/ijfr.v11n1p115
Subject(s) - asset allocation , portfolio , market timing , stock (firearms) , trading strategy , drawdown (hydrology) , investment strategy , econometrics , stock market , order (exchange) , lag , business , computer science , financial economics , economics , finance , market liquidity , mechanical engineering , paleontology , computer network , geotechnical engineering , horse , aquifer , engineering , biology , groundwater
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.