Tactic Asset Allocation and Conditional Return Expectations

We will in this paper investigate if a Tactic Asset Allocation (TAA) decision tool such as the slope of a moving average on the asset return will result in a statistical higher profit for an investor compared to a simple random investment strategy. The result indicates that a moving average signific...

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Bibliographic Details
Published in:Journal of Statistical and Econometric Methods 2014-01, Vol.3 (2)
Main Author: Davidsson, Marcus
Format: Article
Language:English
Online Access:Get full text
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Summary:We will in this paper investigate if a Tactic Asset Allocation (TAA) decision tool such as the slope of a moving average on the asset return will result in a statistical higher profit for an investor compared to a simple random investment strategy. The result indicates that a moving average significantly increases our returns when it comes to index investments but it also helps us to avoid large drawdowns.
ISSN:2241-0384
2241-0376