Assessing a quantitative approach to tactical asset allocation

Assessing a quantitative approach to tactical asset allocation

The purpose of this paper is to determine whether the adoption of a simple trend-following quantitative method improves the risk-adjusted returns across various asset classes within a South African market setting. A simple moving average timing model is tested since 1925 on the South African equity...

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Bibliographic Details
Main Author: Royston, Guy Andrew
Other Authors: Prof A Saville
Published: 2013
Subjects:
UCTD
Simple moving average
Drawdown
Tactical asset allocation
Risk-adjusted return
Online Access:http://hdl.handle.net/2263/27023
Royston, GA 2011, Assessing a quantitative approach to tactical asset allocation, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/27023 >
http://upetd.up.ac.za/thesis/available/etd-08042012-191113/

Internet

http://hdl.handle.net/2263/27023
Royston, GA 2011, Assessing a quantitative approach to tactical asset allocation, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/27023 >
http://upetd.up.ac.za/thesis/available/etd-08042012-191113/

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