Improving maximum drawdown to reduce equity losses in buy-and-hold strategies : application on the CSE
Dissertant
Thesis advisor
University
Al Akhawayn University
Faculty
The School of Business Administration
University Country
Morocco
Degree
Master
Degree Date
2010
English Abstract
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
Main Subjects
No. of Pages
47
Table of Contents
Table of contents.
Abstract.
Chapter One : Theoretical background.
Chapter Two : Literature review.
Chapter Three : Methodology.
Chapter Four : Empirical findings.
Chapter Five : Concluding remarks.
References.
American Psychological Association (APA)
Uwali, Hajar Nait Abd Allah. (2010). Improving maximum drawdown to reduce equity losses in buy-and-hold strategies : application on the CSE. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-628815
Modern Language Association (MLA)
Uwali, Hajar Nait Abd Allah. Improving maximum drawdown to reduce equity losses in buy-and-hold strategies : application on the CSE. (Master's theses Theses and Dissertations Master). Al Akhawayn University. (2010).
https://search.emarefa.net/detail/BIM-628815
American Medical Association (AMA)
Uwali, Hajar Nait Abd Allah. (2010). Improving maximum drawdown to reduce equity losses in buy-and-hold strategies : application on the CSE. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-628815
Language
English
Data Type
Arab Theses
Record ID
BIM-628815
