I present evidence that a moving average trading strategy dominates buying and holding the underlying asset in a mean-variance sense using monthly returns of value-weighted and equal-weighted US REIT Indexes over the period January 1980 until December 2010. The abnormal returns are largely...

A combination of simple moving average (MA) trading strategies with several window lengths delivers a greater average return and skewness as well as a lower variance and kurtosis compared to buying and holding the underlying asset using daily returns of value-weighted US decile portfolios sorted...

I present evidence that a moving average trading strategy dominates buying and holding the underlying asset in a mean-variance sense using monthly returns of value-weighted and equal-weighted US REIT Indexes over the period January 1980 until December 2010. The abnormal returns are largely...

We investigate whether adding fundamental indices to a portfolio provides increased diversification benefits. Our results show that equity investors who care only about portfolio mean and variance will benefit from including a fundamental index in their portfolios. This benefit is especially...