Predictive models to determine market timing opportunities for the JSE (II)

摘要: The objective of this study is to establish whether it possible develop a mathematical forecasting model which can be used out-perform the JSE All Share Index (ALSI) by switching between ALSI and cash on monthly basis. A number models were formulated, using regression analysis determine future value then transforming predicted via logit scaling probability that will outperform in period. Based one two decisions was made at end each month, stay current asset or switch alternate asset. The best results from these outperformed (dividends included) 7 - 9 % compound per year over 15 years. inclusion transaction costs reduced gain 4 5 year. These better than performance both random statistically significant margin. Furthermore, compare very favourably with similar international studies have been conducted during past 10