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

Author

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  • Fahim Afzal
  • Pan Haiying
  • Farman Afzal
  • Faisal Ghafoor Bhatti

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.

Suggested Citation

  • Fahim Afzal & Pan Haiying & Farman Afzal & Faisal Ghafoor Bhatti, 2020. "Predicting Time-Lag Stock Return Using Tactical Asset Allocation Trading Strategies Across Global Stock Indices," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(1), pages 115-122, January.
    • Handle: RePEc:jfr:ijfr11:v:11:y:2020:i:1:p:115-122
    DOI: 10.5430/ijfr.v11n1p115
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    References listed on IDEAS

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    Cited by:

    1. Yusuf Olatunji Oyedeko & Olusola Segun Kolawole & Regina Samson & Olena Voloshyna, 2023. "Moderating Effect of Tactical Asset Allocation on the Risk-Return Relationship in the Nigerian Stock Market," Oblik i finansi, Institute of Accounting and Finance, issue 2, pages 83-91, June.

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