Moving Average Beats Buy and Hold (Risk Adjusted)

Posted on June 30th, 2009 by admin in Quant

In Ted Wong’s first analysis of the Moving Average Crossover (MAC) method for stock timing, he showed MAC beats Buy and Hold (BAH) for last 138 years.

In his latest work, Ted Wong digs deeper into the drawdowns and shows (again) that MAC beats BAH on a risk-adjusted basis as well.

Being passive will not help you, especially when markets deeply drawdown, as they have in last twelve months.

MAC beats BAH

MAC beats BAH on a Risk-Adjusted Basis

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