The real-life performance of market timing with moving average and time-series momentum rules

  title={The real-life performance of market timing with moving average and time-series momentum rules},
  author={Valeriy Zakamulin},
  journal={Journal of Asset Management},
In this article, we revisit the myths regarding the superior performance of market timing strategies based on moving average and time-series momentum rules. These active timing strategies are very appealing to investors because of their extraordinary simplicity and because they promise substantial advantages over their passive counterparts. However, the ‘too good to be true’ reported performance of these market timing rules raises a legitimate concern as to whether this performance is realistic… 
Timing the Stock Market: Does it Really Make No Sense?
Many private and institutional investors attempt to time the market and generate abnormal returns by periodically switching their portfolio allocations between the stock market and the cash market
A Comprehensive Look at the Empirical Performance of Moving Average Trading Strategies
Despite the enormous current interest in market timing and a series of publications in academic journals, there is still lack of comprehensive research on the evaluation of the profitability of
Revisiting the Profitability of Market Timing with Moving Averages
In a recent empirical study by Glabadanidis ("Market Timing With Moving Averages" (2015), International Review of Finance, Volume 15, Number 13, Pages 387-425; the paper is also available on the SSRN
Market Timing with Moving Averages: Anatomy and Performance of Trading Rules
In this paper, we contribute to the literature in two important ways. Therst contri- bution is to demonstrate the anatomy of market timing rules with moving averages. Our analysis offers a broad and
Beta Dispersion and Market-Timing
This paper examines the dispersion of betas, which is the spread of betas on a market, and its application as market return predictor. The beta dispersion can be interpreted as a measure of risk for
Trading the Standard and Poor’s Composite Index
This chapter utilizes the longest historical sample of data on the SP whether the choice of moving average influences the performance of trading rules; how accurately the trading rules identify the
Revisiting the Profitability of Market Timing with Moving Averages
In a recent empirical study by Glabadanidis (“Market Timing with Moving Averages” (2015), International Review of Finance 15(13):387–425), the author reports striking evidence of
Testing momentum and simple moving average strategies in precious metal's, equity indices and currency markets
This study examines whether technical analysis using the time-series momentum (MOM) and simple moving average (SMA) rules can be implemented in 4 precious metal's, 4 equity indices and 12 currency
The Buy-and-Hold Market Timer
From the perspective of a primarily long-term buy-and-hold investor, this study examines whether occasionally exiting the market when it appears overvalued can be justified. Accounting for continuous


Market Timing and Roulette Wheels
Nobel laureate William F. Sharpe and others have alerted investors to the potential pitfalls of market timing. We also conclude from the study reported here that market timing is generally a
Valuation ratios and long-horizon stock price predictability
Using annual data for 1872-1997, this paper re-examines the predictability of real stock prices based on price-dividend and price-earnings ratios. In line with the extant literature, we find
Will My Risk Parity Strategy Outperform?
The authors gauged the return-generating potential of four investment strategies: value weighted, 60/40 fixed mix, and unlevered and levered risk parity. They report three main findings: (1) Even
Simple Technical Trading Rules and the Stochastic Properties of Stock Returns
This paper tests two of the simplest and most popular trading rules--moving average and trading range break--by utilizing the Dow Jones Index from 1897 to 1986. Standard statistical analysis is
Do Momentum-Based Strategies Still Work in Foreign Currency Markets?
Abstract This paper examines the performance of momentum trading strategies in foreign exchange markets. We find the well-documented profitability of momentum strategies during the 1970s and the
Testing the Simple Moving Average across Commodities, Global Stock Indices, and Currencies
This article examines the risk-adjusted returns from a commonly used technical trading strategy. The author back tests a “simple moving average strategy” over a period of several decades on various
Price and Momentum as Robust Tactical Approaches to Global Equity Investing
This article investigates the performance of momentum and timing approaches for investing across 32 international equity markets, adding to a growing body of literature, which includes Siegel [2002]
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
This paper documents that strategies that buy stocks that have performed well in the past and sell stocks that hav e performed poorly in the past generate significant positive returns o ver three- to
Institutional trades and intraday stock price behavior
Time Series Momentum
We document significant ‘‘time series momentum’’ in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for one to 12