Predicting Time-Lag Stock Return Using Tactical Asset Allocation Trading Strategies Across Global Stock Indices

Fahim Afzal, Pan Haiying, Farman Afzal and Faisal Ghafoor Bhatti

International Journal of Financial Research, 2020, vol. 11, issue 1, 115-122

Abstract: 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.

Keywords: stock return; market timing model; buy and hold strategy; trading strategies (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:11:y:2020:i:1:p:115-122

DOI: 10.5430/ijfr.v11n1p115

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