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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2013
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| 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/ |
| Summary: | 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 and bond markets and within a tactical asset allocation framework. The timing solution when applied to the JSE All Share Index, RSA Government Bond Index and within an equally weighted portfolio improved returns, while reducing risk. Testing the model within sample by decade highlighted periods of inferior return performance providing evidence to support prior research (Faber, 2007) that the timing model acts as a risk reduction technique with limited to no impact on return. === Dissertation (MBA)--University of Pretoria, 2012. === Gordon Institute of Business Science (GIBS) === unrestricted |
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