Logit-based Tactical Asset Allocation Trading Strategies
Date Issued
2005
Date
2005
Author(s)
Nien, Yi-Tsun
DOI
zh-TW
Abstract
Tactical Asset Allocation, TAA, is evidence on the predictability of stock returns using macroeconomic, microeconomic and event tactical variables. Portfolio managers are seeking higher-than-single-asset revenue (Buy and Hold) by actively investing between assets. This article extends the Arshanapalli, Switzer, Hung[2004]’s TAA logistic regression model by adding a Moving Average criteria. The MA model not only enhanced the performance of ASH Model, but also has proven the feasibility of the Market Timing strategy in Taiwan capital market. Back-tested results of [Stock vs. Bond] and [Stock vs. Cash] portfolios exhibited significant annualized returns of 24.67% and 19.86%, respectively. Gives consideration of transaction costs and holding period, this strategy which earns excess return than any single asset is inconsistent of the efficient market hypothesis. In this article, we have successfully established a predictive model based on public information, and can be applied widely by fund managers and individual investors.
Subjects
戰略性資產配置
擇時策略
邏輯迴歸模型
移動平均線
Tactical Asset Allocation
Market Timing
Logistic Regression Model
Moving Average
Type
thesis
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