De winstgevendheid van een market timing strategie via technische analyse. Een onderzoek in ontwikkelde en opkomende markten

Joell De Smet
De voorspellingskracht en winstgevendheid van actieve beleggingsstrategieën wordt vergeleken met de passieve strategie om na te gaan of het mogelijk is om betere beleggingsbeslissingen te nemen dan het aanhouden van een buy-and-hold beleggingsportefeuille.

Technische analyse, een voorbijgestreefde investeringsstrategie

Investeerders trachten vaak de markt te timen om hogere rendementen te behalen dan de passieve buy-and-hold portefeuille. Onderzoek aan de KU Leuven toont aan dat een investeerder beter af is met de buy-and-hold strategie.

Veel investeerders hanteren een actieve marktstrategie waarin ze over- en onderwaardering van aandelen en indices trachten te onderscheiden om zo een mooi rendement te behalen. Eén van deze strategieën is technische analyse. Bij deze analysemethode kijkt men naar historische beurskoersen om een voorspelling te maken van toekomstige bewegingen van de aandelenmarkten. Het gebruik van technische analyse, waarbij allerlei verbanden tussen beurskoersen worden gezocht, is dan ook bijzonder populair in de praktijk. Dit onderzoek bekijkt technische analyse op gekende groeimarkten zoals Brazilië, China en India alsook Europese en Amerikaanse indices tussen 2002 en 2016.

De resultaten van dit onderzoek tonen aan dat er in de volledige onderzoeksperiode uitsluitend op groeimarkten hogere rendementen te behalen waren in vergelijking met de buy-and-hold portefeuille. Vooral de Shanghai en Shenzhen indices presteren sterk. Op Europese en Amerikaanse markten kan de buy-and-hold portefeuille niet worden geklopt. Voor een investeerder is het echter belangrijker om te weten of deze investeringsstrategie ook in de toekomst hogere rendementen zal opleveren. Uit de resultaten blijkt dat er de afgelopen vijf jaar enkel op de Shanghai index hogere rendementen te behalen waren via technische analyse. Na berekening van de transactiekosten blijkt ook de Shanghai index geen hogere rendementen te behalen. Dit is mogelijk te wijten aan de efficiëntie van de markten als gevolg van krachtigere algoritmes en hogere verhandelingsvolumes in financiële markten. Dit onderzoek stelt vast dat technische analyse niet gebruikt kan worden om de aandelenmarkten te voorspellen. De buy-and-hold portefeuille geeft de hoogste rendementsvergoeding voor het gelopen risico. Een potentiële investeerder kan dus het beste in deze buy-and-hold portefeuille beleggen.

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Universiteit of Hogeschool
Master in de Handelswetenschappen (Financieel Management)
Publicatiejaar
2017
Promotor(en)
Kurt Verstegen
Kernwoorden
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