Title page for ETD etd-06032012-100946

Document Type Master's Dissertation
Author Robinson, James Walter
URN etd-06032012-100946
Document Title Assessing a quantitative approach to tactical asset allocation
Degree MBA
Department Gordon Institute of Business Science
Advisor Name Title
Prof A Saville Supervisor
  • market timing
  • active management and quantitative
  • tactical asset allocation
Date 2012-03-08
Availability unrestricted
Against a backdrop of controversy surrounding market timing, this research assesses the merits of a tactical asset allocation strategy for the South African market. The purpose of this research is to assess whether a simple quantitative method - initially presented by Faber (2007) - can successfully reduce volatility and increase returns of selected indices within the Johannesburg Stock Exchange (JSE). The All Share (ALSI), Financial & Industrial (FINI), Resource (RESI), Africa Gold Mining (AGMI), Government Bond (GOVI) and Property Unit Trust (PUTI) indices were examined. A strategy based on a ten-month simple moving average was compared against a buy-and-hold strategy, with results presented for these strategies both excluding and including transaction costs. The strategies were tested over a 50-year period from 1961 to 2010. The results show that superior risk-adjusted returns are possible even in the presence of high transaction costs. Further insights suggest that tactical asset allocation strategies yield improved performances when used in specific sectors and/or asset classes, instead of in consolidated sectors represented by the market.

Copyright 2011, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria

Please cite as follows:

Robinson, JW 2011, Assessing a quantitative approach to tactical asset allocation, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://upetd.up.ac.za/thesis/available/etd-06032012-100946/ >


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