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Assessing a quantitative approach to tactical asset allocation
Dissertation (MBA)--University of Pretoria, 2012.
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| Format: | Thesis |
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University of Pretoria
2013
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| _version_ | 1867613578775756800 |
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| access_status_str | Open Access |
| author2 | Saville, Adrian |
| author_browse | Saville, Adrian |
| author_facet | Saville, Adrian |
| collection | Thesis |
| dc_rights_str_mv | © 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. |
| description | Dissertation (MBA)--University of Pretoria, 2012. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/27023 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:38:22.689Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2013 |
| publishDateRange | 2013 |
| publishDateSort | 2013 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/27023 Assessing a quantitative approach to tactical asset allocation Saville, Adrian ichelp@gibs.co.za Royston, Guy Andrew UCTD Simple moving average Drawdown Tactical asset allocation (TAA) Risk-adjusted return Dissertation (MBA)--University of Pretoria, 2012. 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. Gordon Institute of Business Science (GIBS) unrestricted 2013-09-07T09:53:33Z 2012-09-27 2013-09-07T09:53:33Z 2012-03-08 2012-09-27 2012-08-04 Dissertation 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 > F/12/4/764/zw http://hdl.handle.net/2263/27023 http://upetd.up.ac.za/thesis/available/etd-08042012-191113/ © 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. application/pdf University of Pretoria |
| spellingShingle | UCTD Simple moving average Drawdown Tactical asset allocation (TAA) Risk-adjusted return Assessing a quantitative approach to tactical asset allocation |
| title | Assessing a quantitative approach to tactical asset allocation |
| title_full | Assessing a quantitative approach to tactical asset allocation |
| title_fullStr | Assessing a quantitative approach to tactical asset allocation |
| title_full_unstemmed | Assessing a quantitative approach to tactical asset allocation |
| title_short | Assessing a quantitative approach to tactical asset allocation |
| title_sort | assessing a quantitative approach to tactical asset allocation |
| topic | UCTD Simple moving average Drawdown Tactical asset allocation (TAA) Risk-adjusted return |
| url | http://hdl.handle.net/2263/27023 http://upetd.up.ac.za/thesis/available/etd-08042012-191113/ |