שני מאמרים אקדמיים אחרונים מ2014 ו2015. עשו עבודה ממש נרחבת.
שורה תחתונה -
1. תזמון שוק מייצר המון אתרעות שווא. הוא עדיין יכול להניב רווח קטן על פני buy@hold, אבל ההצלחה שלהם נסמכת על ארועים מאד נדירים שקורים פעם בהרבה שנים. לכן משקיע שמתזמן שוק יכול לחכות אפילו 20 שנה עם ביצועי חסר ביחס לשוק עד שהוא ינצח את השוק וזה יהיה ברווח קטן.
2. תנאי השוק כל הזמן משתנים. ולכן אפילו קשה לבחור את הפרמטר לתזמון (כלומר האם לקחת ממוצע של 6 / 10 /12 או 20 חודשים). כלומר מה שהיה לא מצליח לנבא טוב את מה שיהיה.
לינקים
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2242795
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2677212
כמובן שאני לא ממליץ ולא מייעץ, אני רק עושה את צעדי הראשונים.
קצת ציטוטים מהמסקנות
Our analysis reveals that the average failure rate amounts to about 80%. In words, this means that when the market timing strategy generates a Sell signal, in approximately 80% of cases at the end of a Sell period the market timing strategy will provide a lower return than the buyand-hold strategy.12 Again, this result demonstrates that, when the passive benchmark is a stock price index, the superior performance of the market timing strategy is confined to some relatively short particular episodes. That means that in order the market timing strategy delivers a superior performance as compared to that of the passive counterpart, investors sometimes have to wait a very long time and experience painful emotions because their active portfolios consistently lag the benchmark. For example, the real-life performance of market timing was inferior during a 25-year period from 1975 to 1999 regardless of the choice of a passive stock market index. It is quite probable that in order the market timing delivers once again a superior performance as that during the decade of 2000s, investors have to wait for another 20+ years
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We discovered strong evidence that the stock market dynamics are changing over time. Specifically, our findings revealed that over the second half of our sample the stock market was less volatile, the stock prices grew with a rate that was more than double as much as that over the first half, and the ratio of the average Bull market length to the average Bear market length was almost double as much as that over the fist half. We found evidence that over the total sample the moving average strategies outperformed the market. However, over the second half of our total sample, even though both halves were chosen to have exactly the same number of Bull and Bear market phases, we did 40 not find statistically significant evidence of outperformance. Contrary to the common belief, our results indicated that there is no single optimal lookback period in each trading rule, as well as we found no support for the common belief that over-weighting the recent prices allows one to improve the performance of a market timing rule. Whereas we found some indications that over very long-term horizons the market timing strategy tends to outperform the market, over more realistic short- to medium-term horizons the market timing strategy is more likely to underperform the market than to outperform. Thereby our findings cast doubts that market timing strategies can consistently beat the market.
שורה תחתונה -
1. תזמון שוק מייצר המון אתרעות שווא. הוא עדיין יכול להניב רווח קטן על פני buy@hold, אבל ההצלחה שלהם נסמכת על ארועים מאד נדירים שקורים פעם בהרבה שנים. לכן משקיע שמתזמן שוק יכול לחכות אפילו 20 שנה עם ביצועי חסר ביחס לשוק עד שהוא ינצח את השוק וזה יהיה ברווח קטן.
2. תנאי השוק כל הזמן משתנים. ולכן אפילו קשה לבחור את הפרמטר לתזמון (כלומר האם לקחת ממוצע של 6 / 10 /12 או 20 חודשים). כלומר מה שהיה לא מצליח לנבא טוב את מה שיהיה.
לינקים
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2242795
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2677212
כמובן שאני לא ממליץ ולא מייעץ, אני רק עושה את צעדי הראשונים.
קצת ציטוטים מהמסקנות
Our analysis reveals that the average failure rate amounts to about 80%. In words, this means that when the market timing strategy generates a Sell signal, in approximately 80% of cases at the end of a Sell period the market timing strategy will provide a lower return than the buyand-hold strategy.12 Again, this result demonstrates that, when the passive benchmark is a stock price index, the superior performance of the market timing strategy is confined to some relatively short particular episodes. That means that in order the market timing strategy delivers a superior performance as compared to that of the passive counterpart, investors sometimes have to wait a very long time and experience painful emotions because their active portfolios consistently lag the benchmark. For example, the real-life performance of market timing was inferior during a 25-year period from 1975 to 1999 regardless of the choice of a passive stock market index. It is quite probable that in order the market timing delivers once again a superior performance as that during the decade of 2000s, investors have to wait for another 20+ years
-------------------
We discovered strong evidence that the stock market dynamics are changing over time. Specifically, our findings revealed that over the second half of our sample the stock market was less volatile, the stock prices grew with a rate that was more than double as much as that over the first half, and the ratio of the average Bull market length to the average Bear market length was almost double as much as that over the fist half. We found evidence that over the total sample the moving average strategies outperformed the market. However, over the second half of our total sample, even though both halves were chosen to have exactly the same number of Bull and Bear market phases, we did 40 not find statistically significant evidence of outperformance. Contrary to the common belief, our results indicated that there is no single optimal lookback period in each trading rule, as well as we found no support for the common belief that over-weighting the recent prices allows one to improve the performance of a market timing rule. Whereas we found some indications that over very long-term horizons the market timing strategy tends to outperform the market, over more realistic short- to medium-term horizons the market timing strategy is more likely to underperform the market than to outperform. Thereby our findings cast doubts that market timing strategies can consistently beat the market.
