Title page for ETD etd-08042012-191113


Document Type Master's Dissertation
Author Royston, Guy Andrew
URN etd-08042012-191113
Document Title Assessing a quantitative approach to tactical asset allocation
Degree MBA
Department Gordon Institute of Business Science
Supervisor
Advisor Name Title
Prof A Saville Supervisor
Keywords
  • simple moving average
  • drawdown
  • tactical asset allocation
  • risk-adjusted return
Date 2012-03-08
Availability unrestricted
Abstract
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.

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:

Royston, GA 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-08042012-191113/ >

F/12/4/764/zw

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