Analyzing Momentum-Based and Moving Average-Based Portfolio Strategies: A Case Study of the Egyptian Stock Market
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Date
2024-07
Journal Title
Journal ISSN
Volume Title
Type
Article
Publisher
Ain shams University
Series Info
المجلة العلمية للاقتصاد والتجارة;4/235 - 274 (2024)
Doi
Scientific Journal Rankings
Abstract
This study introduces two competing portfolio-styled
trading/investment strategies (“A” & “B”), based on a
combination of well-accredited & researched Technical Analysis
(TA) techniques and approaches, namely Relative Performance
(RP), Momentum (Rate of Change) and Moving Averages (MA).
This research aims at measuring the outcome performance of the
on-portfolio security selection in the Egyptian stock market, to
assess the likelihood of TA portfolio-styled trading/investment
strategies to achieve superior results to the Buy & Hold (B&H)
strategy in the Egyptian stock market. The research offers indepth analysis & assessments of the performance and results of
the two strategies using both, relevant and validated
measurements of portfolio performance. Ultimately, the research
aims at producing validated and academic research on TA-based
strategies that are designed to aid individual and institutional
investors in their short-term investment decisions, while reducing
their exposure to specific or unsystematic risk through
diversification and portfolio security selection. The findings were
able to render conclusive evidence to the advantage of the
portfolio-styled trading/investing strategies, favoring strategy “A” over “B”, over the passive “Buy & Hold” strategy as
represented by the EGX30 market benchmark Index.
Description
Keywords
Portfolio, Strategy, Technical Analysis, Stockmarket, Relative Performance Analysis, Momentum Analysis, Moving Averages, EGX30 Index, Buy & Hold strategy.