Market Timing on U.S. Equity Indices-Portfolios versus Individual Indices

Mudassar Hasan, Muhammad Arif, Muhammad Ishfaq Ahmad, Muhammad Yasir Rafiq

Research output: Contribution to conferencePaperpeer-review


In this paper, we test the application of moving average (MA) investment timing strategy on US equity indices and compare their performance with respect to strategy and composition. To this end, we apply the MA strategy to a combined pool of, main and sectoral, indices out of which we compose portfolios and groups (of individual indices) based on volatility. A strategy-wise comparison reveals that when applied to portfolios and individual indices, MA strategy does not outperform the well-known buy-and-hold strategy; nevertheless, on a standalone basis, MA strategy exhibits some significant performance. Furthermore, robustness tests such as alternative lag lengths, random switching, and trading behavior provide no support for the success of MA strategy. Instead, buy-and-hold strategy produces substantial returns, in both cases, which increase monotonically with rising volatility. On the other hand, a composition-wise comparison indicates that under buy-and-hold strategy, volatility-sorted portfolios yield slightly better returns than individual indices. In contrast, individual index returns are somewhat better than portfolio returns under MA strategy.
Original languageEnglish
Publication statusPublished - 9 Apr 2017
Externally publishedYes
Event7th International Interdisciplinary Business-Economics Advancement Conference - Navigator of the Sea, Miami, United States
Duration: 9 Apr 201714 Apr 2017
Conference number: 7th


Conference7th International Interdisciplinary Business-Economics Advancement Conference
Country/TerritoryUnited States
Internet address

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