Performance Sensitivity

Paskalis Glabadanidis

Chapter Chapter 4 in Market Timing and Moving Averages, 2015, pp 51-155 from Palgrave Macmillan

Abstract: Abstract In this section, I report the results of several robustness checks performed on the previously reported empirical findings. First, I show evidence of the MA strategy performance in two subperiods of equal length. Second, I show how the MA strategy performs when various lag lengths are used. Third, I report the intensity of trading, the BETC, the probability of being on the right side of the market, and the statistical significance of the mean return and standard deviation improvement. Finally, I also report how the number of trades and the BETC vary with alternative lengths of the MA.

Keywords: Abnormal Return; Portfolio Return; Market Timing; Cumulative Return; Industry Portfolio (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-35983-4_4

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DOI: 10.1057/9781137359834_4

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