RT Journal Article
SR Electronic
T1 Timing the Index Using Model-Based Market Forecasts
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 89
OP 95
DO 10.3905/jwm.2000.320381
VO 3
IS 1
A1 David Lovatt
YR 2000
UL https://pm-research.com/content/3/1/89.abstract
AB This article contains details of a stochastic equation estimated by non-linear least squares which is used to forecast the U.K. stock market. Simulations show that the model performs well in practice. This article also contains details of a FORTRAN algorithm which includes trading rules designed to guide the practical application of the model. Simulations from the trading rules show that it is capable of improving the long-term performance of equity investment funds.