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The Journal of Wealth Management

The Journal of Wealth Management

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Article

Trading Moving Average Crossovers: Further Testing of Risk-Adjusted and After-Tax Returns

C. Michael Smith
The Journal of Wealth Management Winter 2017, 20 (3) 94-100; DOI: https://doi.org/10.3905/jwm.2017.20.3.094
C. Michael Smith
is a lecturer at Roanoke College in Salem, VA. cmsmith@roanoke.edu
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Abstract

Many investors require equity-like returns, but lack the risk tolerance to endure extreme losses. Trading moving average crossovers (MACs) is one strategy that may aid equity market investors in avoiding long protracted downturns. This article provides further analysis of MAC strategies. The findings suggest that trading MACs has remained a simple and effective risk-reduction strategy over the last 20 years. Investors who cannot tolerate extreme losses are signaled out of the market before a significant drawdown. However, the nature of the “bull” market volatility in recent years has significantly reduced the benefits associated with the strategy. In addition, while trading MACs does incur increased negative tax effects over that of a buy-and-hold strategy, the impact appears to be minimal.

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The Journal of Wealth Management: 20 (3)
The Journal of Wealth Management
Vol. 20, Issue 3
Winter 2017
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Trading Moving Average Crossovers: Further Testing of Risk-Adjusted and After-Tax Returns
C. Michael Smith
The Journal of Wealth Management Oct 2017, 20 (3) 94-100; DOI: 10.3905/jwm.2017.20.3.094

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Trading Moving Average Crossovers: Further Testing of Risk-Adjusted and After-Tax Returns
C. Michael Smith
The Journal of Wealth Management Oct 2017, 20 (3) 94-100; DOI: 10.3905/jwm.2017.20.3.094
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  • Article
    • Abstract
    • BACKGROUND ON MOVING AVERAGE CROSSOVERS
    • RESEARCH METHODOLOGY
    • ASSUMPTIONS
    • OVERALL RESULTS
    • MORE RECENT RESULTS
    • RESULTS IN FULLY TAXABLE ACCOUNTS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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