Improving maximum drawdown to reduce equity losses in buy-and-hold strategies : application on the CSE

مقدم أطروحة جامعية

Uwali, Hajar Nait Abd Allah

مشرف أطروحة جامعية

Sharafi, Abd al-Latif

الجامعة

جامعة الأخوين

الكلية

كلية إدارة الأعمال

دولة الجامعة

المغرب

الدرجة العلمية

ماجستير

تاريخ الدرجة العلمية

2010

الملخص الإنجليزي

In a transaction costs environment, this study considered the Moroccan market‟s risk description through return and maximum drawdown analysis.

It looked for possible ways to manage this drawdown in buy-and-hold strategies.

The sample period analysis was done for the case of a long position on the stock index and for a portfolio or multiple assets.

A simple active strategy was developed to enhance investors‟ wealth thanks to the definition of optimal entry and exit points to the trading system using simple moving averages.

The signal for position change was derived from decision bands representing optimal combinations of moving average time windows and standard deviation based bands.

The strategy applied to the out-of-sample period met the promised improvement in the maximum drawdown for both the indices and the portfolio and allowed for excess return compared to a simple buy-and-hold strategy.

The proposed strategy adds value to investors even with high transaction costs and in a declining market

التخصصات الرئيسية

إدارة الأعمال

عدد الصفحات

47

قائمة المحتويات

• APA
• MLA
• AMA

لغة النص

الإنجليزية

نوع البيانات

رسائل جامعية

رقم السجل

BIM-628815