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

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


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.

Full Text:



Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.

This journal is licensed under a Creative Commons Attribution 4.0 License.

International Journal of Financial Research
ISSN 1923-4023(Print)ISSN 1923-4031(Online)


Copyright © Sciedu Press

To make sure that you can receive messages from us, please add the '' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.