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RESEARCH PRODUCT

True performance of market timing with simple moving average

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Masteroppgave i økonomi og administrasjon – Universitetet i Agder 2014 In this paper we investigate the performance of the market timing strategy basedon Simple Moving Average (SMA), looking at its performance when tested both inand out-of-sample. We examine whether or not its popularity is a result of theinherent flaws of in-sample testing or if its based on actual superiority. We find thatthe SMA strategy outperforms the market only when tested in-sample, and thatthere are too many uncertain factors to be able to conclude that it is effective whentested out-of-sample. As such, we do not find evidence of the SMA strategyconflicting with the efficient market hypothesis.